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张东祥等: Revisiting purchasing power parity for East Asian countries:sequential panel selection method
时间:2013-06-19    点击数:

Abstract: This study applies the Sequential Panel Selection Method (SPSM) procedure proposed by Chortareas and Kapetanios (2009) to test the validity of longrun Purchasing Power Parity (PPP) for a sample of East Asian countries over the period March 1985 to September 2011. SPSM classifies the whole panel into a group of stationary series and a group of nonstationary series. In doing so, we can clearly identify how many and which series in the panel are stationary processes. Empirical results from the SPSM using the Panel Kapetanios et al. (KSS) unit root test (Ucar and Omay, 2009) with a Fourier function indicate that PPP holds true for most of these East Asian countries studied, with the exception of Hong Kong. Our results have important policy implications for these East Asian countries under study.
原刊发表于SSCI期刊Applied Economics Letters, 2013, 20, 62–66