Caporale, Guglielmo Maria; Hanck, Christoph - In: Applied Economics Letters 16 (2009) 1, pp. 9-15
We analyse whether tests of PPP exhibit erratic behaviour (as previously reported by Caporale et al., 2003) even when (possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage-three) tests between the nominal exchange rate, domestic...