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Long-run purchasing power parity revisited: a Monte Carlo simulation
16 references·12 citing·28 second hop
Long-run purchasing power parity revisited: a Monte Carlo simulation (1996)Long-run purchasing power parity revisite…FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)FINITE‐SAMPLE SIZES OF JOHANS…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Real and nominal exchange rates in the long run: An empirical investigation (1990)Real and nominal exchange rat…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Tests for Unit Roots: A Monte Carlo Investigation (1989)Tests for Unit Roots: A Monte…Tests For Unit Roots: A Monte Carlo Investigation (1988)Tests For Unit Roots: A Monte…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…An empirical examination of long-run purchasing power parity using cointegration techniques (1988)An empirical examination of l…Forecasting and testing in co-integrated systems (1987)Forecasting and testing in co…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Deviations from Purchasing Power Parity in the Long Run (1983)Deviations from Purchasing Po…Interest rates and currency prices in a two-country world (1982)Interest rates and currency p…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Expectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…International Volatility and Economic Growth: The First Ten Years of The International Seminar on MacroeconomicsInternational Volatility and …Revisiting Purchasing Power Parity in OECD (2015)Revisiting Purchasing Power P…Purchasing Power Parity in Transition Countries: Panel Stationary Test with Smooth and Sharp Breaks (2015)Purchasing Power Parity in Tr…Panel asymmetric nonlinear unit root test and PPP in Africa (2015)Panel asymmetric nonlinear un…Economics and finance in Indonesia (2015)Economics and finance in Indo…Real and nominal effective exchange rates of African countries during 1971Q1–2012Q4 (2014)Real and nominal effective ex…Revisiting Export-Led Growth for Bangladesh: A Synthesis of Cointegration and Innovation Accounting (2011)Revisiting Export-Led Growth …Extended generalized purchasing power parity and optimum currency area in East Asian countries (2008)Extended generalized purchasi…Real and nominal effective exchange rates in MENA countries: 1970–2004 (2007)Real and nominal effective ex…Real and nominal effective exchange rates for African countries (2007)Real and nominal effective ex…Purchasing power parity: Evidence from developing Countries (2002)Purchasing power parity: Evid…CONSUMERS' INFLATION EXPECTATIONS AND MONETARY POLICY IN EUROPE (2002)CONSUMERS' INFLATION EXPECTAT…Cointegration and causality between fertility and female labor participation in Taiwan: A multivariate approach (1999)Cointegration and causality b…Immiserizing Growth: A Geometrical Note (1958)Theory of Value (1959)Asset Prices in an Exchange Economy (1978)Trying to Explain Home Bias in Equities and Consumption (1999)The Economics of Exchange Rates (2003)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Macroeconomics and Reality (1980)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Critical Values for Cointegration Tests (2010)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Time Series Analysis: Forecasting and Control (1977)Testing for a Unit Root in Time Series Regression (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Why Does Stock Market Volatility Change Over Time? 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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 1987Forecasting and testing in co-integrated systems1,896 cited
  • 1982Interest rates and currency prices in a two-country world1,256 cited
  • 1988Tests For Unit Roots: A Monte Carlo Investigation1,244 cited
  • 1993FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION1,206 cited
  • 1989Tests for Unit Roots: A Monte Carlo Investigation635 cited
  • 1983Deviations from Purchasing Power Parity in the Long Run497 cited
  • 1988An empirical examination of long-run purchasing power parity using cointegration techniques486 cited

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  • n.d.International Volatility and Economic Growth: The First Ten Years of The International Seminar on Macroeconomics458 cited
  • 1990Real and nominal exchange rates in the long run: An empirical investigation424 cited
  • Cited by

    • 2015Revisiting Purchasing Power Parity in OECD31 cited
    • 2002CONSUMERS' INFLATION EXPECTATIONS AND MONETARY POLICY IN EUROPE29 cited
    • 2015Panel asymmetric nonlinear unit root test and PPP in Africa22 cited
    • 2015Economics and finance in Indonesia21 cited
    • 1999Cointegration and causality between fertility and female labor participation in Taiwan: A multivariate approach20 cited
    • 2007Real and nominal effective exchange rates for African countries19 cited
    • 2015Purchasing Power Parity in Transition Countries: Panel Stationary Test with Smooth and Sharp Breaks19 cited
    • 2002Purchasing power parity: Evidence from developing Countries18 cited
    • 2007Real and nominal effective exchange rates in MENA countries: 1970–200417 cited
    • 2011Revisiting Export-Led Growth for Bangladesh: A Synthesis of Cointegration and Innovation Accounting16 cited
    • 2014Real and nominal effective exchange rates of African countries during 1971Q1–2012Q415 cited
    • 2008Extended generalized purchasing power parity and optimum currency area in East Asian countries12 cited