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Measuring the persistence of deviations from purchasing power parity with a fractionally integrated STAR model
16 references·0 citing·46 second hop
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References

  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1996The Purchasing Power Parity Puzzle2,939 cited
  • 1981Fractional Differencing2,720 cited
  • 2001Long memory and regime switching1,162 cited
  • 2002Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates?1,142 cited
  • 2001Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles1,004 cited
  • 1956Social Indifference Curves863 cited
  • 1997Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation750 cited
  • 2001Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price540 cited
  • 1996Testing the adequacy of smooth transition autoregressive models536 cited
  • 2002PPP Strikes Back: Aggregation And the Real Exchange Rate478 cited
  • 1993Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models470 cited
  • 1950Statistical Inference in Dynamic Economic Models454 cited
  • 1994Approximately Median-Unbiased Estimation of Autoregressive Models

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428 cited
  • 1991Real Exchange Rates under the Gold Standard415 cited
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