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Subsampling Hypothesis Tests for Nonstationary Panels with Applications to Exchange Rates and Stock Prices

Choi, In; Chue, Timothy K. - 2005

This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross-sectionally correlated … the tests without estimating nuisance parameters. The tests include panel unit root and cointegration tests as special … shown that subsampling provides asymptotic distributions that are equivalent to the asymptotic distributions of the panel …

Persistent link: https://www.econbiz.de/10014027534

Real exchange rate dynamics in transition economies : a nonlinear analysis

Nusair, Salah A. - In: International journal of finance & economics : IJFE 18 (2013) 2, pp. 188-204

Persistent link: https://www.econbiz.de/10010355991

Real currency appreciation in accession countries : Balassa-Samuelson and investment demand

Fischer, Christoph - 2002

apparently in favour of Balassa-Samuelson effects may require a re-interpretation. The model is estimated for a panel of CEE … scheinen, müssen deshalb möglicherweise neu interpretiert werden. Das Modell wird für ein Panel von mittel- und osteuropäischen …

Persistent link: https://www.econbiz.de/10011431705

Evidence on PPP from a cointegration test with multiple structural breaks

Narayan, Paresh Kumar; Narayan, Seema; Prasad, Arti - In: Applied economics letters 16 (2009) 1/3, pp. 5-8

Persistent link: https://www.econbiz.de/10003822531

Rejection probabilities for a battery of unit-root tests

Maican, Florín G.; Sweeney, Richard J. - 2013

Persistent link: https://www.econbiz.de/10009751612

Phillips-Perron-type unit root tests in the nonlinear ESTAR framework

Rothe, Christoph (contributor); … - 2005

In this paper, we propose Phillips-Perron type, semiparametric testing procedures to distinguish a unit root process from a mean-reverting exponential smooth transition autoregressive one. The limiting nonstandard distributions are derived under very general conditions and simulation evidence...

Persistent link: https://www.econbiz.de/10002926863

Phillips-Perron-type unit root tests in the nonlinear ESTAR framework

Rothe, Christoph; Sibbertsen, Philipp - In: Allgemeines statistisches Archiv : AStA ; journal of … 90 (2006) 3, pp. 439-456

Persistent link: https://www.econbiz.de/10003363489

Evidence on PPP from a Cointegration Test with Multiple Structural Breaks

Narayan, Paresh Kumar - 2012

Despite a plethora of studies on purchasing power parity (PPP), those that take a cointegration approach have found mixed evidence on PPP. The goal of this article is to obviate existing tensions in the PPP literature by using a simple test for cointegration between nominal exchange rate and...

Persistent link: https://www.econbiz.de/10013105379

Are PPP tests erratically behaved? : some panel evidence

Caporale, Guglielmo Maria; Hanck, Christoph - In: International review of applied economics 24 (2010) 2, pp. 203-221

Persistent link: https://www.econbiz.de/10008653316

Purchasing power parity in transition countries : panel stationary test with smooth and sharp breaks

Bahmani-Oskooee, Mohsen; Chang, Tsangyao; Wu, Tsung-pao - In: International Journal of Financial Studies : open … 3 (2015) 2, pp. 153-161

apply a recently introduced panel stationary test, which accounts for sharp breaks and smooth shifts. The results indicate …

Persistent link: https://www.econbiz.de/10011308453