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Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates
16 references·16 citing·42 second hopsampled
Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates (2002)Tests for Symmetric and Asymmetric Nonlin…Unit root tests in panel data: asymptotic and finite-sample properties (2002)Unit root tests in panel data…Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates (1998)Unit-Root Tests and Asymmetri…Unit roots and smooth transitions (1998)Unit roots and smooth transit…The overvaluation of purchasing power parity (1998)The overvaluation of purchasi…Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation (1997)Transactions Costs and Nonlin…Searching for stationarity: Purchasing power parity under the current float (1997)Searching for stationarity: P…The Purchasing Power Parity Puzzle (1996)The Purchasing Power Parity P…Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries (1996)Real Exchange Rate Behavior: …Purchasing power parity and unit root tests using panel data (1996)Purchasing power parity and u…Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test (1996)Are Real Exchange Rates Nonst…The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity (1995)The Exchange Rate in the Pres…Real and nominal exchange rates in the long run: An empirical investigation (1990)Real and nominal exchange rat…Purchasing Power Parity in the Long Run (1990)Purchasing Power Parity in th…Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period (1988)Was It Real? The Exchange Rat…An empirical examination of long-run purchasing power parity using cointegration techniques (1988)An empirical examination of l…Are Economic Time Series Asymmetric over the Business Cycle? (1984)Are Economic Time Series Asym…Asymmetric effect of exchange rate volatility on trade in sub-Saharan African countries (2020)Asymmetric effect of exchange…Are fiscal deficits inflationary in African countries? A new evidence from an asymmetric cointegration analysis (2019)Are fiscal deficits inflation…TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS (2016)TESTING FOR A UNIT ROOT AGAIN…Real interest rates: nonlinearity and structural breaks (2016)Real interest rates: nonlinea…Panel asymmetric nonlinear unit root test and PPP in Africa (2015)Panel asymmetric nonlinear un…Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test (2014)Reexamining the PPP hypothesi…Nonstationarity and nonlinearity in inflation rate: Some further evidence (2012)Nonstationarity and nonlinear…Macroeconomic uncertainty, inflation and growth: Regime-dependent effects in the G7 (2012)Macroeconomic uncertainty, in…PURCHASING POWER PARITY IN LESS‐DEVELOPED AND TRANSITION ECONOMIES: A REVIEW PAPER (2009)PURCHASING POWER PARITY IN LE…U.S. dollar real exchange rates: Nonlinearity revisited (2008)U.S. dollar real exchange rat…Adaptive consistent unit-root tests based on autoregressive threshold model (2007)Adaptive consistent unit-root…Purchasing Power Parity and Markov Regime Switching (2006)Purchasing Power Parity and M…Nonlinear Mean Reversion in Real Exchange Rates: Evidence from Developing and Emerging Market Economies (2006)Nonlinear Mean Reversion in R…Bubbles in the dividend–price ratio? Evidence from an asymmetric exponential smooth-transition model (2006)Bubbles in the dividend–price…Regime (non)stationarity in the US/UK real exchange rate (2005)Regime (non)stationarity in t…Evidence on purchasing power parity from univariate models: the case of smooth transition trend‐stationarity (2005)Evidence on purchasing power …Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Testing for unit roots in heterogeneous panels (2003)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)A simple panel unit root test in the presence of cross‐section dependence (2007)Trends and random walks in macroeconmic time series (1982)Testing for Common Trends (1988)Cointegration and Threshold Adjustment (2001)Financial development and economic growth: evidence from panel unit root and cointegration tests (2003)Asymmetric Price Transmission: A Survey (2004)Time to Build and Aggregate Fluctuations (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Order Flow and Exchange Rate Dynamics (1999)The Economics of Exchange Rates (2003)In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? (2005)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag (1995)Fully modified OLS for heterogeneous cointegrated panels (2004)Nonstationary panels, cointegration in panels and dynamic panels: A survey (2004)Panel unit root tests under cross‐sectional dependence (2005)Critical Values for Cointegration Tests (2010)Expectations and Exchange Rate Dynamics (1976)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles (2001)The Purchasing Power Parity Debate (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited (1997)Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price (2001)Testing for two-regime threshold cointegration in vector error-correction models (2002)Empirical exchange rate models of the seventies (1983)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Trade Policy and Economic Growth: A Skeptic's Guide to the Cross-National Evidence (2000)The New Politics of the Welfare State (2001)The General Theory of Employment (1937)Short-run equilibrium dynamics of unemployment vacancies, and real wages (1985)Rational-expectations econometric analysis of changes in regime (1988)Detrending and business cycle facts (1998)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Introductory Econometrics for Finance (2008)Tourism development and economic growth: A closer look at panels (2007)
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References

  • 2002Unit root tests in panel data: asymptotic and finite-sample properties12,832 cited
  • 1996The Purchasing Power Parity Puzzle2,939 cited
  • 1998The overvaluation of purchasing power parity1,208 cited
  • 1998Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates1,203 cited
  • 1984Are Economic Time Series Asymmetric over the Business Cycle?929 cited
  • 1996Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries886 cited
  • 1988Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period825 cited
  • 1990Purchasing Power Parity in the Long Run808 cited
  • 1997Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation750 cited
  • 1997Searching for stationarity: Purchasing power parity under the current float526 cited
  • 1988An empirical examination of long-run purchasing power parity using cointegration techniques486 cited
  • 1998Unit roots and smooth transitions465 cited
  • 1990Real and nominal exchange rates in the long run: An empirical investigation424 cited
  • 1996Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test417 cited
  • 1995

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The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity
403 cited
  • 1996Purchasing power parity and unit root tests using panel data342 cited
  • Cited by

    • 2014Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test66 cited
    • 2016TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS58 cited
    • 2009PURCHASING POWER PARITY IN LESS‐DEVELOPED AND TRANSITION ECONOMIES: A REVIEW PAPER57 cited
    • 2006Bubbles in the dividend–price ratio? Evidence from an asymmetric exponential smooth-transition model52 cited
    • 2007Adaptive consistent unit-root tests based on autoregressive threshold model51 cited
    • 2006Purchasing Power Parity and Markov Regime Switching50 cited
    • 2005Regime (non)stationarity in the US/UK real exchange rate50 cited
    • 2020Asymmetric effect of exchange rate volatility on trade in sub-Saharan African countries46 cited
    • 2012Macroeconomic uncertainty, inflation and growth: Regime-dependent effects in the G740 cited
    • 2005Evidence on purchasing power parity from univariate models: the case of smooth transition trend‐stationarity40 cited
    • 2012Nonstationarity and nonlinearity in inflation rate: Some further evidence31 cited
    • 2016Real interest rates: nonlinearity and structural breaks31 cited
    • 2008U.S. dollar real exchange rates: Nonlinearity revisited27 cited
    • 2019Are fiscal deficits inflationary in African countries? A new evidence from an asymmetric cointegration analysis25 cited
    • 2015Panel asymmetric nonlinear unit root test and PPP in Africa22 cited
    • 2006Nonlinear Mean Reversion in Real Exchange Rates: Evidence from Developing and Emerging Market Economies21 cited