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Cointegrating Tests of Purchasing Power Parity Using Znz Patterned Vecm

Penm, Jack H.W - 2001

This paper consists of two parts. In the first part the sensitivity of PPP testing to the nature of the unit root tests is demonstrated. Three unit root tests are employed for fourteen real bilateral exchange rates. The first two, the augmented Dickey-Fuller test and the Phillips-Perron test are...

Persistent link: https://www.econbiz.de/10014123436

Purchasing power parity in ASEAN-5 countries : revisit with cross-sectional dependence and structural breaks

Munir, Qaiser; Kok Sook Ching; Hooi Hooi Lean; Teplova, … - In: Macroeconomics and finance in emerging market economies 11 (2018) 1/3, pp. 233-249

Persistent link: https://www.econbiz.de/10011974592

International financial integration and real exchange rate long-run dynamics in emerging countries : some panel evidence

Caporale, Guglielmo Maria; Hadj Amor, Thouraya; Rault, … - 2009

America, Asia and MENA). It covers the period 1979-2004, and carries out "second-generation" tests for non-stationary panels … integration ; misalignment ; second-generation panel unit-root and cointegration tests …

Persistent link: https://www.econbiz.de/10003889635

International financial integration and real exchange rate long-run dynamics in emerging countries : some panel evidence

Caporale, Guglielmo Maria; Hadj Amor, Thouraya; Rault, … - 2009

America, Asia and MENA). It covers the period 1979-2004, and carries out second-generationʺ tests for non-stationary panels … integration ; misalignment ; second-generation panel unit-root and cointegration tests …