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Nonlinear mean-reversion to purchasing power parity: exponential smooth transition autoregressive models and stochastic unit root processes
16 references·2 citing·36 second hop
Nonlinear mean-reversion to purchasing power parity: exponential smooth transition autoregressive models and stochastic unit root processes (2008)Nonlinear mean-reversion to purchasing po…The Purchasing Power Parity Debate (2004)The Purchasing Power Parity D…Why is it so difficult to beat the random walk forecast of exchange rates? (2003)Why is it so difficult to bea…Testing for a unit root in the nonlinear STAR framework (2002)Testing for a unit root in th…SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS (2002)SMOOTH TRANSITION AUTOREGRESS…A Century of Purchasing-Power Parity (2002)A Century of Purchasing-Power…Purchasing Power Parity and the Real Exchange Rate (2001)Purchasing Power Parity and t…Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles (2001)Nonlinear Mean‐Reversion in R…Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals (2000)Nonlinear adjustment, long-ru…Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation (1997)Transactions Costs and Nonlin…Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited (1997)Nonlinear Aspects of Goods-Ma…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: …The handbook of international economics (1995)The handbook of international…The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity (1995)The Exchange Rate in the Pres…Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World (1992)Dynamic Equilibrium and the R…Purchasing Power Parity in the Long Run (1990)Purchasing Power Parity in th…REAL EXCHANGE RATE DYNAMICS IN TRANSITION ECONOMIES: A NONLINEAR ANALYSIS (2012)REAL EXCHANGE RATE DYNAMICS I…Do real exchange rates really follow threshold autoregressive or exponential smooth transition autoregressive models? (2010)Do real exchange rates really…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)A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks (2006)A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks* (2011)The flexible Fourier form and Dickey–Fuller type unit root tests (2012)Expectations and Exchange Rate Dynamics (1976)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The overvaluation of purchasing power parity (1998)The Economics of Exchange Rates (2003)Time Series Analysis Forecasting and Control. (1971)Book Review: Time Series Analysis: Forecasting and Control (1977)Comparing Predictive Accuracy (1994)Dealing with Structural Breaks (2005)An Empirical Comparison of Machine Learning Models for Time Series Forecasting (2010)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Gravity with Gravitas: A Solution to the Border Puzzle (2003)The obstinate passion of Foreign Exchange Professionals: \ntechnical analysis (2006)The VAT in Developing and Transitional Countries (2007)Identifying FDI spillovers (2017)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)Statistical analysis of cointegration vectors (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Noise Trader Risk in Financial Markets (1990)Exchange Rates and Fundamentals (2005)Forecasting: theory and practice (2022)Unit root tests for panel data (2001)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Is the good news about compliance good news about cooperation? (1996)Familiarity Breeds Investment (2001)UNMASKING THE POLLUTION HAVEN EFFECT* (2008)
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References

  • 1996The Purchasing Power Parity Puzzle2,939 cited
  • 2002Testing for a unit root in the nonlinear STAR framework1,567 cited
  • 1995The handbook of international economics1,478 cited
  • 2002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS1,182 cited
  • 2004The Purchasing Power Parity Debate1,034 cited
  • 2001Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles1,004 cited
  • 1996Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries886 cited
  • 1990Purchasing Power Parity in the Long Run808 cited
  • 2003Why is it so difficult to beat the random walk forecast of exchange rates?801 cited
  • 1997Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation750 cited
  • 1992Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World642 cited
  • 1997Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited560 cited
  • 2000Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals455 cited
  • 2002A Century of Purchasing-Power Parity424 cited
  • 1995The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity

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403 cited
  • 2001Purchasing Power Parity and the Real Exchange Rate400 cited
  • Cited by

    • 2012REAL EXCHANGE RATE DYNAMICS IN TRANSITION ECONOMIES: A NONLINEAR ANALYSIS8 cited
    • 2010Do real exchange rates really follow threshold autoregressive or exponential smooth transition autoregressive models?8 cited