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Revisiting purchasing power parity for African countries: with nonlinear panel unit-root tests

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  • Chi-Wei Su
  • Tsangyao Chang
  • Yu-Shao Liu

Abstract

This study applies Panel Seemingly Unrelated Regressions (SUR) Kapetanios et al . (Kapetanios--Shin--Snell (KSS), SURKSS) tests, proposed by Wu and Lee (2009), to investigate the properties of long-run Purchasing Power Parity (PPP) in 15 African countries. The empirical results from the univariate unit root and panel based unit root tests indicate that PPP does not hold for these 15 countries under study. However, Panel SURKSS tests indicate that PPP is valid for four of these 15 countries. These results have important policy implications for these 15 African countries under study.

Suggested Citation

  • Chi-Wei Su & Tsangyao Chang & Yu-Shao Liu, 2012. "Revisiting purchasing power parity for African countries: with nonlinear panel unit-root tests," Applied Economics, Taylor & Francis Journals, vol. 44(25), pages 3263-3273, September.
    • Handle: RePEc:taf:applec:44:y:2012:i:25:p:3263-3273
    DOI: 10.1080/00036846.2011.570730
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    2. Månsson, Kristofer & Sjölander, Pär, 2014. "Testing for nonlinear panel unit roots under cross-sectional dependency — With an application to the PPP hypothesis," Economic Modelling, Elsevier, vol. 38(C), pages 121-132.

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