Chou, W. L.; Shih, Y. C. - In: Applied Economics Letters 4 (1997) 9, pp. 575-578
Fractional cointegration in a trivariate model is used to test the long-run purchasing power parity hypothesis in four Asian newly industrialized economies. Critical values for the Geweke-Porter-Hudak tests based on Monte Carlo simulations are provided. Evidence of fractional cointegration...