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Eventually, this sends the studio into a tizzy, and the actor who plays the movie star shows up to try and coax his alter-ego back onto the screen. Meanwhile, the fictional character learns that you can't use fictional money in a restaurant and that cars don't just start on their own without keys. It's all lighthearted and full of whimsy, and that's about it. Allen presumably is trying to make a statement here about wanting what we can't have, and how harsh reality can be, but it doesn't really come across. Purple Rose is just too goofy to carry much of a punch.
Incidentally this is only Allen's second film in which he did not appear, and according to the disc insert, it's also his favorite movie. That I don't get, but it's Woody....