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EconoQuantum
On-line version ISSN 2007-9869Print version ISSN 1870-6622
Abstract
WALLACE, Frederick H.; LOZANO CORTES, René and CABRERA CASTELLANOS, Luis Fernando. Pruebas de cointegración de paridad de poder de compra. EconoQuantum [online]. 2008, vol.4, n.2, pp.7-25. ISSN 2007-9869.
Three well-known single equation cointegration tests are employed to test for purchasing power parity (PPP) in updated version of the data set developed by Taylor (2002). Results of the tests differ somewhat. The Engle-Granger two-step procedure indicates substantial support for PPP with respect to the US dollar while the evidence in favor is much weaker from error correction and autoregressive distributed lag models.
Keywords : Cointegración; paridad de poder de compra.