search query: @author Gagnon, J. E. / total: 1
reference: 1 / 1
« previous | next »
| Author: | Edison, H. J. Gagnon, J. E. Melick, W. R. |
| Title: | Understanding the empirical literature on purchasing power parity: The post-Bretton Woods era |
| Journal: | Journal of International Money and Finance
1997 : FEB, VOL. 16:1, p. 1-17 |
| Index terms: | PURCHASING POWER STATISTICAL METHODS TESTS MONTE CARLO TECHNIQUE |
| Language: | eng |
| Abstract: | Purchasing power parity (PPP) in the post-Bretton Woods era has failed to stand up to empirical scrutiny. The failure can be attributed to the low power of the tests employed. This study documents the low power of the Johansen cointegration tests using Monte Carlo experiments based on post-Bretton Woods data sets. The study documents also the power advantages of a testing procedure based on Horvath and Watson (1995). Moderate evidence for PPP in post-Bretton Woods data was found using this procedure. |
« previous | next »
SCIMA