Narrow search
Showing 1 - 3 of 3
Cover Image
Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity
Gospodinov, Nikolay - Society for Computational Economics - SCE - 2001
Many economic time series are charecterized by high persistence which typically requires nonstandard limit theory for inference. This paper proposes a new method for constructing confidence intervals for the impulse response functions of nearly nonstationary processes. The method is based on...
Persistent link: https://www.econbiz.de/10005537771
Cover Image
PPP: a Disaggregated View
Fischer, Christoph - Deutsche Bundesbank - 2004
a single good and a weighted sum of relative prices between goods. When applying a battery of panel unit root tests to … PPP is invalid even if the LOP holds for all goods. The findings contrast with the result from panel unit root tests that …
Persistent link: https://www.econbiz.de/10005083081
Cover Image
A reappraisal of the evidence on PPP: a systematic investigation into MA roots in panel unit root tests and their implications
Fischer, Christoph; Porath, Daniel - Deutsche Bundesbank - 2006
Panel unit root tests of real exchange rates – as opposed to univariate tests – usually reject non-stationarity. These … correlation matrix affect the size of first and second generation panel unit root tests. Two components of the real exchange rate …, the real exchange rate of a single good and a weighted sum of relative prices, are constructed from the data for a panel …
Persistent link: https://www.econbiz.de/10005083113