An alternative test of purchasing power parity

The Fisher and Seater [Fisher, M.E. and Seater, J.J., 1993. Long run neutrality and superneutrality in an ARIMA framework. American Economic Review 83, 402–415.] methodology is applied to Taylorʹs [Taylor, A.T., 2002. A century of purchasing power parity. Review of Economics and Statistics 84, 139–150.] data to test for purchasing power parity. Generally, the evidence is supportive of PPP. Further, FS test statistics have no size distortion problem and test power is improved with longer samples.