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ArticleLong-horizon regression tests of the theory of purchasing power parity

Apostolos Serletis2003

Article2003

Long-horizon regression tests of the theory of purchasing power parity

Apostolos Serletis · Periklis Gogas

30 citations·0/0 files stored·Journal of Banking & Finance

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Global Financial Crisis and Policies

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 1982Trends and random walks in macroeconmic time series 1996The Purchasing Power Parity Puzzle 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis 1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK

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2006An alternative test of purchasing power parity 2010Testing the Purchasing Power Parity Hypothesis for the New Member and Candidate Countries of the European Union: Evidence from Lagrange Multiplier Unit Root Tests with Structural Breaks 2004Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels 2010Purchasing power parity over a century 2015PPP may hold better than you think: Smooth breaks and non-linear mean reversion in real effective exchange rates

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2010Purchasing power parity over a centuryarticle · 20 shared references 2000Purchasing power parity, nonlinearity and chaosarticle · 19 shared references 2002Bounds tests of the theory of purchasing power parityarticle · 19 shared references 1999What do We Really Know about Real Exchange Rates?chapter · 14 shared references 2000Do Real Exchange Rates Have Autoregressive Unit Roots? A test under the Alternative of Long Memory and Breaksreport · 13 shared references 1996Time-Series-Based Econometricsbook · 12 shared references

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Year2003

Typearticle

Published2003-12-30

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations30

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jbankfin.2003.07.006

openalex_workW2018921992

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2021Aplicación de la hipótesis de paridad de poder adquisitivo en el pronóstico de la tasa de cambio del peso colombiano contra el dólar estadounidense