PURCHASING POWER PARITY DOCTRINE: AN UNRESTRICTED COINTEGRATION TEST
Swarna D. Dutt
(Assistant Professor, Department of Economics, School of Business, West Georgia College, Carrollton, GA 30118.)
Dipak Ghosh
(Visiting Assistant Professor, Department of Economics, Tulane University, New Orleans, LA 70118.)
289
Abstract
The purchasing power parity hypothesis is investigated within a highly economically integrated set of nations, namely the European Monetary System. We use the Phillips‐Hansen Fully Modified Ordinary Least Squares procedure, which for the first time allows for an unrestricted cointegration test of the PPP doctrine. We sequentially test for the weak and strong form of PPP.
Citation
Dutt, S.D. and Ghosh, D. (1996), "PURCHASING POWER PARITY DOCTRINE: AN UNRESTRICTED COINTEGRATION TEST", Studies in Economics and Finance, Vol. 16 No. 2, pp. 22-45. https://doi.org/10.1108/eb028720
Publisher
:MCB UP Ltd
Copyright © 1996, MCB UP Limited