de Truchis, Gilles - 2012
Generalized Purchasing Power Parity (G-PPP) from the new perspective of fractional cointegration. The long-run co-movements of the … RERs are examined by applying a recent estimator of fractional cointegration that consists of a frequency Whittle … approximation of the cointegrating system's likelihood function. The contribution of the fractional cointegration study is justified …