A new approach to cointegration developed by Enders et al. (Cointegration tests using instrumental variables with an example of the U.K. demand for money. Unpublished working paper written by Frederick H. Wallace. http://wenders.people.ua.edu/time-series-methods.html, 2008) is applied to long-span, high-frequency data to test for purchasing power parity in the Mexico–US real exchange rate. Overall the empirical