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Consistency of nonlinear regression quantiles under Type I censoring weak dependence and general covariate design
Oberhofer, Walter; Haupt, Harry - Wirtschaftswissenschaftliche Fakultät, Universität … - 2005
For both deterministic or stochastic regressors, as well as parametric nonlinear or linear regression functions, we prove the weak consistency of the coefficient estimators for the Type I censored quantile regression model under different censoring mechanisms with censoring points depending on...
Persistent link: https://www.econbiz.de/10005607530
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Nonlinearity in Deviations From Uncovered Interest Parity; An Explanation of the Forward Bias Puzzle
Valente, Giorgio; Leon, H. L.; Sarno, Lucio - International Monetary Fund (IMF) - 2006
We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less...
Persistent link: https://www.econbiz.de/10005604790
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Angebot und Nachfrage im Außenhandel : Theoretische Überlegungen und eine Kointegrationsanalyse für Deutschland
Meurers, Martin - ifo Leibniz-Institut für Wirtschaftsforschung an der …
Im Mittelpunkt der Arbeit steht die theoretische und empirische Analyse von Angebot und Nachfrage auf den Im- und Exportmärkten. Sie ist mit dem Ziel verknüpft, die Reagibilität von Preisen und Mengen im Außenhandel in Bezug auf Änderungen des realen Wechselkurses und der wirtschaftlichen...
Persistent link: https://www.econbiz.de/10008791347
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Testing Purchasing Power Parity in Romania using standard unit root tests, with one structural break and cointegration analysis
Ghiba, Nicolae; Sadoveanu, Diana - In: Romanian Economic Journal 15 (2012) 44, pp. 225-242
exchange rate compared with traditional tests like Augmented Dickey-Fuller and Phillips-Perron and cointegration analysis in … PPP strong form. We identify evidence of cointegration for all three models, but we don’t find any evidence to support …
Persistent link: https://www.econbiz.de/10010970425
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Cointegration tests of purchasing power parity
Wallace, Frederick - In: Review of World Economics (Weltwirtschaftliches Archiv) 149 (2013) 4, pp. 779-802
Im et al. (Unpublished working paper, <CitationRef CitationID="CR11">2008</CitationRef>) develop cointegration tests … using stationary instrumental variables. Their tests avoid the need to simulate critical values for the cointegration … two well-known, single equation cointegration methods to test for purchasing power parity. The estimations with …
Persistent link: https://www.econbiz.de/10010992906
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Determinants of real exchange rates: An empirical investigation
Kakkar, Vikas; Yan, Isabel - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2014
The large and persistent deviations of nominal exchange rates from their purchasing power parities comprise a key stylized fact in international economics. This paper sheds light on these persistent deviations by combining two disparate strands of empirical work. The first strand focuses on real...
Persistent link: https://www.econbiz.de/10011019069
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Purchasing power parity in the eastern Caribbean currency union
Simmons, Walter; Aggarwal, Raj - In: Journal of Developing Areas 38 (2004) 2, pp. 155-169
There is increasing interest in regional trade, investment, and currency blocs, and in the optimal public policies for such blocs. There is also much managerial interest in the co-movement of exchange rates in a region. The Eastern Caribbean Currency Bloc is one of only three (and one of the...
Persistent link: https://www.econbiz.de/10011213280
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Purchasing power parity in Asian economies: further evidence from rank tests for cointegration
Liew, Venus Khim-Sen; Lee, Hock-Ann; Lim, Kian-Ping - Volkswirtschaftliche Fakultät, … - 2005
The finding of nonlinear cointegration between Asian exchange rates with the corresponding relatives prices and …
Persistent link: https://www.econbiz.de/10011267871
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EMPIRICAL VERIFICATION OF THE PURCHASING POWER PARITY
Wisniewski, Jakub - In: Oeconomia Copernicana 3 (2012) 3, pp. 37-61
cointegration of exchange rates and prices, as well as the stationarity of real exchange rates. The analysis used quarterly data …
Persistent link: https://www.econbiz.de/10011273781
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EMPIRICAL VERIFICATION OF THE PURCHASING POWER PARITY
Wiœniewski, Jakub - In: Oeconomia Copernicana 3 (2012), pp. 37-61
cointegration of exchange rates and prices, as well as the stationarity of real exchange rates. The analysis used quarterly data …
Persistent link: https://www.econbiz.de/10011273859