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Testing the purchasing power parity through I(2) cointegration techniques

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References

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1995

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Estimating equilibrium exchange rates

551 cited

2001Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price540 cited

Cited by

2018Are outcomes driving expectations or the other way around? An I(2) CVAR analysis of interest rate expectations in the dollar/pound market24 cited
2008Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate23 cited
2016Can you do the wrong thing and still be right? Hypothesis testing in I(2) and near-I(2) cointegrated VARs20 cited
2009The Long Swings Puzzle: What the Data Tell When Allowed to Speak Freely17 cited
2014A residual-based ADF test for stationary cointegration in I(2) settings14 cited
2008A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings14 cited
2011An I(2) cointegration model with piecewise linear trends12 cited