We present an empirical analysis of a long run Purchasing Power Parity (PPP) for thirteen Asian-Pacific countries using cointegration techniques.

A sequential procedure for determination of trend degree and testing for unit root is introduced; its properties are investigated by Monte Carlo experiments. We compare the performance of Augmented Dickey-Fuller tests and the GLS tests of Elliott, Rothenberg and Srock (1996), in both cases with lag...

Multivariate tests of fractionally integrated hypotheses are proposed in this article. They are a natural generalization of the univariate tests of Robinson (1994) for testing unit roots and other nonstationary hypotheses.

This paper is concerned with tests for seasonal unit roots in a univariate time series process. We construct test statistics which are similar, both exactly and asymptotically, with respect to both the initial values of the process and the possibility of differential seasonal dirft under the...