224
Views
5
CrossRef citations to date
0
Altmetric
Original Articles

Price level convergence across cities? Evidence from panel unit root tests

, &
Pages 87-93 | Published online: 05 Jul 2010

References

  • Amsler , C. and Lee , J. 1995 . An LM test for a unit root in the presence of a structural change . Econometric Theory , 11 : 359 – 68 .
  • Bai , J. and Carrion-i-Silvestre , J. L. 2009 . Structural changes, common stochastic trends, and unit roots in panel data . Review of Economic Studies , 76 : 471 – 501 .
  • Basher , S. A. and Carrion-i-Silvestre , J. L. 2009 . Price level convergence, purchasing power parity and multiple structural breaks in panel data analysis: an application to US cities . Journal of Time Series Econometrics , 1 Article 3
  • Breitung , J. 2000 . The local power of some unit root tests for panel data . Advances in Econometrics , 15 : 161 – 77 .
  • Busetti , F. , Fabiani , S. and Harvey , A. 2006 . Convergence of prices and rates of inflation . Oxford Bulletin of Economics and Statistics , 68 : 863 – 77 .
  • Cecchetti , S. G. , Mark , N. C. and Sonora , R. J. 2002 . Price index convergence among United States cities . International Economic Review , 43 : 1081 – 99 .
  • Ceglowski , J. 2003 . The law of one price: intranational evidence for Canada . Canadian Journal of Economics , 36 : 373 – 400 .
  • Chen , L. L. and Devereux , J. 2003 . What can US city price data tell us about purchasing power parity? . Journal of International Money and Finance , 22 : 213 – 22 .
  • Choi , I. 2001 . Unit root tests for panel data . Journal of International Money and Finance , 20 : 249 – 72 .
  • Das , S. and Bhattacharya , K. 2008 . Price convergence across regions in India . Empirical Economics , 34 : 299 – 313 .
  • Evans , P. and Karras , G. 1996 . Convergence revisited . Journal of Monetary Economics , 37 : 249 – 65 .
  • Fan , C. S. and Wei , X. 2006 . The law of one price: evidence from the transitional economy of China . Review of Economics and Statistics , 88 : 682 – 97 .
  • Fleissig , A. R. and Strauss , J. 2000 . Panel unit root tests of purchasing power parity for price indices . Journal of International Money and Finance , 19 : 489 – 506 .
  • Im , K. S. , Lee , J. and Tieslau , M. 2005 . Panel LM unit root tests with level shifts . Oxford Bulletin of Economics and Statistics , 67 : 393 – 419 .
  • Im , K. S. , Pesaran , M. H. and Shin , Y. 2003 . Testing for unit roots in heterogeneous panels . Journal of Econometrics , 115 : 53 – 74 .
  • Levin , A. , Lin , C. F. and Chu , C. 2002 . Unit root test in panel data: asymptotic and finite-sample properties . Journal of Econometrics , 108 : 1 – 24 .
  • Maddala , G. S. and Wu , S. 1999 . A comparative study of unit root tests with panel data and a new simple test . Oxford Bulletin of Economics and Statistics , 61 : 631 – 52 .
  • Nagayasu , J. and Inakura , N. 2009 . PPP: further evidence from Japanese regional data . International Review of Economics and Finance , 18 : 419 – 27 .
  • O'Connell , P. G. J. 1998 . The overvaluation of purchasing power parity . Journal of International Economics , 44 : 1 – 19 .
  • Perron , P. 1989 . The great crash, the oil price shock, and the unit root hypothesis . Econometrica , 57 : 1361 – 401 .
  • Pesaran , M. H. 2007 . A pair-wise approach to testing for output and growth convergence . Journal of Econometrics , 138 : 312 – 55 .
  • Sargan , J. D. and Bhargava , A. 1983 . Testing residuals from least squares regression for being generated by the Gaussian random walk . Econometrica , 51 : 153 – 74 .
  • Sonora , R. J. 2008 . Bivariate relative city price convergence in the United States: 1918–1997 . Review of Financial Economics , 17 : 92 – 111 .
  • Stock , J. H. 1999 . “ A class of tests for integration and cointegration ” . In Cointegration, Causality and Forecasting. A Festschrift in Honour of Clive , Edited by: Granger , W. J. , Engle , R. F. and White , H. 135 – 67 . New York : Oxford University Press .
  • Vargas-T´ellez , C. O. 2008 . Purchasing power parity across Mexican cities: a panel data analysis . Applied Economics , 40 : 2891 – 9 .
  • Warren , T. , Hufbauer , G. C. and Wada , E. 2002 . The Benefits of Price Convergence: Speculative Calculations, Policy Analyses in International Economics , Vol. 65 , Washington, DC : Institute for International Economics .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.