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Transactions Costs and Nonlinear Adjustment in Real Exchange Rates : An Empirical Investigation
Michael, Panos; Nobay, A. Robert; Peel, David A. - 1998
Equilibrium models of real exchange rate determination in the presence of transactions costs imply a nonlinear adjustment process toward purchasing power parity (PPP). Conventional cointegration tests, which ignore the effect of transactions costs, may be biased against the long-run PPP...
Persistent link: https://www.econbiz.de/10014220616
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Testing long run purchasing power parity in a cointegrated system
Lubian, Diego - 1992
Persistent link: https://www.econbiz.de/10000943087
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New panel unit root tests of PPP
Coakley, Jerry - In: Economics letters 57 (1997) 1, pp. 17-22
Persistent link: https://www.econbiz.de/10001229597
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Maximum likelihood estimation of cointegration vectors : testing for the existence of purchasing power parity
Georgoutsos, Demetris A. - In: Rivista internazionale di scienze economiche e … 40 (1993) 3, pp. 215-231
Persistent link: https://www.econbiz.de/10001141799
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Decomposition of feedback between time series in a bivariate error-correction model
Koo, Jahyeong; Johnson, Paul A. - 1997
Persistent link: https://www.econbiz.de/10000982767
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Estimation and testing in models containing both jumps and conditional heteroscedasticity
Drost, Feike C. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 237-243
Persistent link: https://www.econbiz.de/10001244002
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A new measure of fit for equations with dichotomous dependent variables
Estrella, Arturo - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 198-205
Persistent link: https://www.econbiz.de/10001244006
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La dynamique asymétrique de l'emploi au cours du cycle
Perraudin, Corinne - In: Economie & prévision : EP (1995), pp. 121-139
Persistent link: https://www.econbiz.de/10001196093
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A simple regime-switching model for stochastic volatilities
Christopeit, Norbert - 1997
Persistent link: https://www.econbiz.de/10000982947
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Causalité persistante entre séries non-stationnaires : application à l'étude comparée des politiques monétaires des pays du G5
Bruneau, Catherine - In: Annales d'économie et de statistique (1995), pp. 177-206
Persistent link: https://www.econbiz.de/10001333815