Parsley & Wei (1996)Parsley, D. C., & Wei, S.-J. (1996). Convergence to the law of one price without trade barriers or currency fluctuations. The Quarterly Journal of Economics, 111(4), 1211-1236. doi: 10.2307/2946713 https://doi.org/10.2307/2946713...
|
51 Prices of Commodities |
1975:01-1992:04 |
USA Cities |
New Orleans and New York |
Levin e Lin (LL) test |
1.25, 1.00 and 3.75
|
Culver & Papell (1999)Culver, S. E., & Papell, D. H. (1999, June). Panel evidence of purchasing power parity using intranational and international data. Retrieved from http://www.uh.edu/~dpapell/citypap.pdf
http://www.uh.edu/~dpapell/citypap.pdf...
|
Consumer Price Index |
USA (1978:05-1997:04) CAN (1978:09-1997:06) |
USA and Canada Cities |
All Cities |
Feasible GLS |
USA: 3.82 CAN: 1.83
|
Nenna (2001)Nenna, M. (2001). Price level convergence among italian cities: Any role for the Harrod-Balassa-Samuelson Hypothesis? (Working Paper No. 64). Rome: Ministero dell'Economia e delle Finanze, Consiglio degli Esperti e Faculty of Economics, University of Rome La Sapienza.
|
Consumer Price Index |
1947-2000 |
Italian Cities |
Rome and Cross-section Average |
LL test |
1.97 |
Cecchetti et al. (2002)Cecchetti, S. G., Mark, N. C., & Sonora, R. J. (2002). Price index convergence among United States cities. International Economic Review, 43(4), 1081-1099. Retrieved from http://www.jstor.org/stable/826961
http://www.jstor.org/stable/826961...
|
Consumer Price Index |
1918-1995 |
USA Cities |
Cross-section Average |
From LL and Im, Pesaran e Shin (IPS) unit root tests with adjustments for the Nickell bias |
8.50-9.70
|
L. L. Chen & Devereux (2003)Chen, L. L., & Devereux, J. (2003). What can US city price data tell us about purchasing power parity? Journal of International Money and Finance, 22(2), 213-222. doi: 10.1016/S0261-5606(02)00102-X https://doi.org/10.1016/S0261-5606(02)00...
|
Absolute Price Level built from the CPI |
1918-2000 |
USA Cities |
USA |
Augmented Dickey-Fuller (ADF) test |
4.98
|
Carrion-i-Silvestre et al. (2004)Carrion-i-Silvestre, J. L., Barrio, T. d., & López-Bazo, E. (2004). Evidence on the purchasing power parity in a panel of cities. Applied Economics, 36(9), 961-966. doi: 10.1080/0003684042000233186 https://doi.org/10.1080/0003684042000233...
|
Consumer Price Index |
1939:07-1992:12 |
Spanish Cities |
Spain |
From unit root tests |
3.60
|
Sonora (2005)Sonora, R. J. (2005). City CPI convergence in Mexico. Review of Development Economics, 9(3), 359-367. Retrieved from 10.1111/j.1467-9361.2005.00281.x https://doi.org/10.1111/j.1467-9361.2005...
|
Consumer Price Index |
1982:01-2000.12 |
Mexican Cities |
México DF |
Mean of ρ̂ ADF with bias adjustment estimated through Kendall (1954)Kendall, M. G. (1954). Note on bias in the estimation of autocorrelation. Biometrika, 41(3-4), 403-404. doi: 10.1093/biomet/41.3-4.403 https://doi.org/10.1093/biomet/41.3-4.40...
|
2.00-3.00
|
Choi & Matsubara (2007)Choi, C.-Y., & Matsubara, K. (2007). Heterogeneity in the persistence of relative prices: What do the Japanese cities tell us? Journal of the Japanese and International Economies, 21(2), 260-286. doi: 10.1016/j.jjie.2006.03.002 https://doi.org/10.1016/j.jjie.2006.03.0...
|
36 Disaggregated CPI Items |
1970:01-2002:12 |
Japanese Cities |
All Cities |
Sum of autoregressive coefficients (SARC), Impulse Response Function (IRF), RGLS and non-linear |
<2.00
|
Das & Bhattacharya (2008)Das, S., & Bhattacharya, K. (2008). Price convergence across regions in India. Empirical Economics, 34(2), 299-313. doi: 10.1007/s00181-007-0123-8 https://doi.org/10.1007/s00181-007-0123-...
|
Consumer Price Indices for Industrial Workers |
1995:01-2004:06 |
Indian Regions |
Cross-section Average and Nagpur |
Moon-Perron (MP) test, direct Dickey-Fuller (DDF) and Robust developed by Breitung & Das (2008)Breitung, J., & Das, S. (2008). Testing for unit roots in panels with a factor structure. Econometric Theory, 24(1), 88-108. doi: 10.1017/S0266466608080067 https://doi.org/10.1017/S026646660808006...
with adjustment to the Nickel bias |
0.68/1.91
|
Nath & Sarkar (2009)Nath, H. K., & Sarkar, J. (2009). Unbiased estimation of the half-life to price index convergence among U.S. cities. Journal of Money, Credit and Banking, 41(5), 1041-1046. Retrieved from http://www.jstor.org/stable/40271593
http://www.jstor.org/stable/40271593...
|
Consumer Price Index |
1918-2006 |
USA Cities |
Cross-section Average |
GLS with FE with bias correction for Nickell and temporal aggregation |
7.50 |
Nagayasu & Inakura (2009)Nagayasu, J., & Inakura, N. (2009). PPP: Further evidence from Japanese regional data. International Review of Economics & Finance, 18(3), 419-427. doi: 10.1016/j.iref.2008.09.003 https://doi.org/10.1016/j.iref.2008.09.0...
|
CPI Aggregated and Disaggregated |
1990-2003 |
Japanese Cities |
Tokyo |
Moon & Perron (2004)Moon, H. R., & Perron, B. (2004). Testing for a unit root in panels with dynamic factors. Journal of Econometrics, 122(1), 81-126. doi: 10.1016/j.jeconom.2003.10.020 https://doi.org/10.1016/j.jeconom.2003.1...
unit root test |
≈ 2.00 |
Chmelarova & Nath (2010)Chmelarova, V., & Nath, H. K. (2010). Relative price convergence among US cities: Does the choice of numeraire city matter? Journal of Macroeconomics, 32(1), 405-414. doi: 10.1016/j.jmacro.2009.09.006 https://doi.org/10.1016/j.jmacro.2009.09...
|
Consumer Price Index |
1918-2007 |
USA Cities |
All Cities |
GLS with FE and Nickel bias correction |
9.54
|
Mohsin & Gilbert (2010)Mohsin, H. M., & Gilbert, S. (2010). The relative city price convergence in Pakistan: Empirical evidence from spatial GLS. The Pakistan Development Review, 49(4), 439-448. Retrieved from http://www.pide.org.pk/pdf/PDR/2010/Volume4/439-448.pdf
http://www.pide.org.pk/pdf/PDR/2010/Volu...
|
Consumer Price Index |
2001:07-2008:06 |
Pakistani Cities |
Karachi and Lahori |
Spatial GLS |
<0.42 |
Frankel & Rose (1995)Frankel, J. A., & Rose, A. K. (1995, February). A panel project on purchasing power parity: Mean reversion within and between countries (Working Paper No. 5006). National Bureau of Economic Research (NBER). doi: 10.3386/w5006 https://doi.org/10.3386/w5006...
|
Consumer Price Index |
1948-1992 |
150 países |
USA |
OLS with Standard errors corrected through Huber/White |
≈ 4.00 |
Wei & Parsley (1995)Wei, S.-J., & Parsley, D. C. (1995, February). Purchasing power disparity during the floating rate period: Exchange rate volatility, trade barriers and other culprits (Working Paper No. 5032). National Bureau of Economic Research (NBER). doi: 10.3386/w5032 https://doi.org/10.3386/w5032...
|
Sector Price Indices |
1973-1986 |
14 OECD countries |
- |
- |
4.25 and 4.75
|
Culver & Papell (1999)Culver, S. E., & Papell, D. H. (1999, June). Panel evidence of purchasing power parity using intranational and international data. Retrieved from http://www.uh.edu/~dpapell/citypap.pdf
http://www.uh.edu/~dpapell/citypap.pdf...
|
Consumer Price Index |
1978:01-1997:02 |
European Union |
All Countries |
Feasible GLS |
2.19
|
Choi et al. (2006)Choi, C.-Y., Mark, N. C., & Sul, D. (2006). Unbiased estimation of the half-life to PPP convergence in panel data. Journal of Money, Credit and Banking, 38(4), 921-938. Retrieved from https://www3.nd.edu/~nmark/wrkpaper/PPP%20Bias_JMCB.pdf
https://www3.nd.edu/~nmark/wrkpaper/PPP%...
|
Consumer Price Index |
1973-1998 |
21 OECD coutries |
All Countries |
GLS with FE with bias correction for Nickell and temporal aggregation |
3.00
|
Carvalho & Nechio (2011)Carvalho, C., & Nechio, F. (2011). Aggregation and the PPP puzzle in a sticky-price model. The American Economic Review, 101(6), 2391-2424. doi: 10.1257/aer.101.6.2391 https://doi.org/10.1257/aer.101.6.2391...
|
Artificial Data Generated by the Model |
- |
US Economy and Rest of the World |
- |
Computed directly from the impulse response functions implied by the solution of the models |
3.25 and 1.17
|