آزمون برابری قدرت خرید در سیستم های حاصل از مدل تصحیح خطا

Using panel time series data from 18 main industrial economies we test the purchasing power parity (PPP) for the post-Bretton Woods era. As base currencies, we use alternatively the Deutsche mark (DEM), the Japanese yen (JPY), and the US dollar (USD). We employ error correction models for single countries and on the level of pooled equations. Critical values for the applied likelihood ratio tests are estimated by means of the wild bootstrap which copes with heteroskedastic error distributions and contemporaneous cross equation error correlation. To assess the robustness of our results tests of PPP are performed recursively. We find that the PPP provides an accurate description of exchange rate dynamics if the DEM or the JPY are used as base currencies. Specified towards the USD, we reject the economic model. It turns out that this overall conclusion is not invariant with respect to the investigated sample period.