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The long-run US/UK real exchange rate

Engel, Charles; Kim, Chang-jin - In: Journal of money, credit and banking : JMCB 31 (1999) 3,1, pp. 335-356

Persistent link: https://www.econbiz.de/10001411982

Pitfalls in panel tests of purchasing power parity

Anker, Peter - In: Weltwirtschaftliches Archiv : Zeitschrift des Instituts … 135 (1999) 3, pp. 437-453

Persistent link: https://www.econbiz.de/10001408499

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

The stationarity of exchange rates

Lan, Yihui - 2003

Persistent link: https://www.econbiz.de/10001775932

Do real exchange rates have autoregressive unit roots? : A test under the alternative of long memory and breaks

Dueker, Michael; Serletis, Apostolos - 2000

Persistent link: https://www.econbiz.de/10001591349

Empirical tests of mean reversion in real exchange rates : a survey

Bleaney, Michael F. - In: Bulletin of economic research 47 (1995) 3, pp. 171-195

Persistent link: https://www.econbiz.de/10001184075

Detecting a long run relationship : (with an application to the PPP hypothesis)

Gouriéroux, Christian; Peaucelle, Irina - 1988

Persistent link: https://www.econbiz.de/10000791144

Allowing the Data to Speak Freely : The Macroeconometrics of the Cointegrated Vector Autoregression

Hoover, Kevin D. - 2008

An explication of the key ideas behind the Cointegrated Vector Autoregression Approach. The CVAR approach is related to Haavelmo's famous quot;Probability Approach in Econometricsquot; (1944). It insists on careful stochastic specification as a necessary groundwork for econometric inference and...

Persistent link: https://www.econbiz.de/10012726093

Purchasing Power Parity : A Unit Root, Cointegration and VAR Analysis in Emerging and Advanced Countries

Loukopoulos, Georgios - 2014

The purpose of this study is to investigate the validity of the absolute version of the purchasing power parity (PPP) of a sample of four advanced and four emerging countries covering the period from 1993 to 2014. To examine the existence of PPP we apply the Augmented Dickey-Fuller, DF-GLS and...

Persistent link: https://www.econbiz.de/10013044515

Non-normal errors or nonlinearity? : performance of unit root tests

Lee, Hyejin; Hur, Mansik - In: Applied economics 53 (2021) 52, pp. 6094-6103

Persistent link: https://www.econbiz.de/10012650385