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Testing for PPP and UIP in an FIML framework
16 references·0 citing·32 second hop
Testing for PPP and UIP in an FIML framework (2001)Testing for PPP and UIP in an FIML framew…Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model (1995)Do purchasing power parity an…Long-Run Purchasing Power Parity: Is it for Real? (1993)Long-Run Purchasing Power Par…Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK (1992)Testing structural hypotheses…Real Exchange Rates under the Gold Standard (1991)Real Exchange Rates under the…ON ERROR CORRECTION MODELS: SPECIFICATION, INTERPRETATION, ESTIMATION (1991)ON ERROR CORRECTION MODELS: S…Exchange Rate Economics: A Survey (1991)Exchange Rate Economics: A Su…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…An empirical examination of long-run purchasing power parity using cointegration techniques (1988)An empirical examination of l…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…An empirical investigation of the long-run behavior of real exchange rates (1987)An empirical investigation of…Exchange Rate Theory and Practice (1984)Exchange Rate Theory and Prac…Deviations from Purchasing Power Parity in the Long Run (1983)Deviations from Purchasing Po…In search of the exchange risk premium: A six-currency test assuming mean-variance optimization (1982)In search of the exchange ris…A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis (1981)A Note on Exchange-Rate Expec…Expectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Common stochastic trends in international stock markets (1992)DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND (1992)Tourism as a long-run economic growth factor: the Spanish case (2002)Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period (1988)Purchasing Power Parity in the Long Run (1990)Long Memory in Foreign-Exchange Rates (1993)Cointegration, Fractional Cointegration, and Exchange Rate Dynamics (1994)Chapter 32 Perspectives on PPP and long-run real exchange rates (1995)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity (1995)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)How Far Can We Push The "Law of One Price"? (1976)Purchasing power parity (1978)Nominal exchange rate regimes and the behavior of real exchange rates: Evidence and implications (1986)Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World (1992)The Economics of Exchange Rates (2003)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A General Equilibrium Approach To Monetary Theory (1969)Oil prices and the rise and fall of the US real exchange rate (1998)Currency traders and exchange rate dynamics: a survey of the US market (2001)Improving GARCH volatility forecasts with regime-switching GARCH (2002)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Empirical exchange rate models of the seventies (1983)Convergence Across States and Regions (1991)The Purchasing Power Parity Puzzle (1996)Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules (1999)On the Complexities of Complex Economic Dynamics (1999)Perspectives on the recent currency crisis literature (1999)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK1,659 cited
  • 1984Exchange Rate Theory and Practice498 cited
  • 1983Deviations from Purchasing Power Parity in the Long Run497 cited
  • 1988An empirical examination of long-run purchasing power parity using cointegration techniques486 cited
  • 1991Real Exchange Rates under the Gold Standard415 cited
  • 1991Exchange Rate Economics: A Survey397 cited
  • 1987An empirical investigation of the long-run behavior of real exchange rates395 cited
  • 1982In search of the exchange risk premium: A six-currency test assuming mean-variance optimization318 cited
  • 1995Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model292 cited
  • 1981A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis199 cited

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  • 1991ON ERROR CORRECTION MODELS: SPECIFICATION, INTERPRETATION, ESTIMATION187 cited
  • 1993Long-Run Purchasing Power Parity: Is it for Real?166 cited
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