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Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data
16 references·5 citing·39 second hop
Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data (2013)Testing the Monetary Model for Exchange R…Tests of equal forecast accuracy and encompassing for nested models (2001)Tests of equal forecast accur…LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)LAG Length Selection and the …Tests for Forecast Encompassing (1998)Tests for Forecast Encompassi…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyTests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)A Simple Estimator of Cointeg…Tests for Parameter Instability in Regressions with I(1) Processes (1992)Tests for Parameter Instabili…An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator (1992)An Improved Heteroskedasticit…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Statistical Inference in Inst…Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Macroeconomics and Reality (1980)Macroeconomics and RealityDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Does the long-run monetary model hold for Sub-Saharan Africa? A time series and panel-cointegration study (2018)Does the long-run monetary mo…Tax evasion, financial development and inflation: Theory and empirical evidence (2014)Tax evasion, financial develo…TESTING FOR PURCHASING POWER PARITY AND UNCOVERED INTEREST PARITY IN THE PRESENCE OF MONETARY AND EXCHANGE RATE REGIME SHIFTS (2010)TESTING FOR PURCHASING POWER …PURCHASING POWER PARITY IN AFRICAN COUNTRIES: EVIDENCE FROM PANEL SURADF TEST (2010)PURCHASING POWER PARITY IN AF…Long-run purchasing power parity with asymmetric adjustment: further evidence from African countries (2009)Long-run purchasing power par…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Time Series Regression with a Unit Root (1987)Inference in Linear Time Series Models with some Unit Roots (1990)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)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Efficient Tests for an Autoregressive Unit Root (1996)A PANIC Attack on Unit Roots and Cointegration (2004)Energy consumption, income, and carbon emissions in the United States (2006)Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia (2013)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 cited
  • 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes4,930 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 2001Tests of equal forecast accuracy and encompassing for nested models1,178 cited
  • 1992An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator1,091 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited

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1998
Tests for Forecast Encompassing
786 cited
  • 1992Tests for Parameter Instability in Regressions with I(1) Processes573 cited
  • Cited by

    • 2014Tax evasion, financial development and inflation: Theory and empirical evidence93 cited
    • 2009Long-run purchasing power parity with asymmetric adjustment: further evidence from African countries25 cited
    • 2010TESTING FOR PURCHASING POWER PARITY AND UNCOVERED INTEREST PARITY IN THE PRESENCE OF MONETARY AND EXCHANGE RATE REGIME SHIFTS15 cited
    • 2018Does the long-run monetary model hold for Sub-Saharan Africa? A time series and panel-cointegration study11 cited
    • 2010PURCHASING POWER PARITY IN AFRICAN COUNTRIES: EVIDENCE FROM PANEL SURADF TEST11 cited