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''The validity of PPP: evidence from Lagrange multiplier unit root tests for ASEAN countries''
( 2010, Vol. 30 No.2 )
The univariate and panel Lagrange Multiplier (LM) unit root tests with one and two structural breaks proposed by Lee and Strazicich (2003, 2004) which are considerably more powerful than traditional tests are employed to investigate whether the purchasing power parity (PPP) theory holds true for ASEAN countries by using both black market and official exchange rates. We find strong evidence in favour of long-run PPP for six ASEAN countries namely, Indonesia, Malaysia, Myanmar, Philippines, Singapore and Thailand.
Keywords: PPP, ASEAN, LM unit root
JEL: F3 - International Finance: General
C3 - Time-Series Models
Manuscript Received : Mar 12 2010 Manuscript Accepted : May 18 2010

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