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Purchasing Power Parity and the Fractional Integration of the Real Exchange Rate: New Evidence for Less Developed Countries
16 references·1 citing·36 second hop
Purchasing Power Parity and the Fractional Integration of the Real Exchange Rate: New Evidence for Less Developed Countries (2002)Purchasing Power Parity and the Fractiona…Pricing-to-market, staggered contracts, and real exchange rate persistence (2001)Pricing-to-market, staggered …The exchange rate in a model of pricing-to-market (1996)The exchange rate in a model …Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data. (1996)Co-Integration, Error Correct…A Fractional Cointegration Analysis of Purchasing Power Parity (1993)A Fractional Cointegration An…Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Maximum likelihood estimation…National price levels, purchasing power parity, and cointegration: a test of four high inflation economies (1989)National price levels, purcha…Tests For Unit Roots: A Monte Carlo Investigation (1988)Tests For Unit Roots: A Monte…COINTEGRATION AND ERROR CORRECTION: REPRESENTATION (1987)COINTEGRATION AND ERROR CORRE…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Testing for Unit Roots in Aut…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…A Reexamination of Purchasing Power Parity: A Multicountry and Multiperiod Study (1982)A Reexamination of Purchasing…Exchange Rate Economics: Where Do We Stand? (1980)Exchange Rate Economics: Wher…Purchasing power parity (1978)Purchasing power parityThe Purchasing-Power Parity Doctrine: A Reappraisal (1964)The Purchasing-Power Parity D…International Volatility and Economic Growth: The First Ten Years of The International Seminar on MacroeconomicsInternational Volatility and …Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all? (2011)Purchasing power parity and t…Fractional Brownian Motions, Fractional Noises and Applications (1968)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Long memory processes and fractional integration in econometrics (1996)Modeling and pricing long memory in stock market volatility (1996)Time Series Analysis: Forecasting and Control (1977)The detection and estimation of long memory in stochastic volatility (1998)Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development (2004)Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing for unit roots in heterogeneous panels (2003)MONEY, INCOME, AND CAUSALITY (1972)Some International Evidence on Output-Inflation Tradeoffs. (1973)Deviations from Purchasing Power Parity in the Long Run (1983)Nominal exchange rate regimes and the behavior of real exchange rates: Evidence and implications (1986)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? (1989)Tourism as a long-run economic growth factor: the Spanish case (2002)Testing for Error Correction in Panel Data* (2007)Do Natural Resources Fuel Authoritarianism? A Reappraisal of the Resource Curse (2011)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Economic Growth in a Cross Section of Countries (1989)The Purchasing Power Parity Puzzle (1996)The Next Generation of the Penn World Table (2015)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Does financial development cause economic growth? Time-series evidence from 16 countries (1996)Taking Time Seriously (2008)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
  • 1964The Purchasing-Power Parity Doctrine: A Reappraisal3,198 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1996Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data.1,578 cited
  • 1987COINTEGRATION AND ERROR CORRECTION: REPRESENTATION1,262 cited
  • 1988Tests For Unit Roots: A Monte Carlo Investigation1,244 cited
  • 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models1,050 cited
  • 1978Purchasing power parity557 cited
  • 1993A Fractional Cointegration Analysis of Purchasing Power Parity505 cited
  • n.d.International Volatility and Economic Growth: The First Ten Years of The International Seminar on Macroeconomics458 cited
  • 1980Exchange Rate Economics: Where Do We Stand?452 cited
  • 1996The exchange rate in a model of pricing-to-market388 cited
  • 2001Pricing-to-market, staggered contracts, and real exchange rate persistence301 cited
  • 1989National price levels, purchasing power parity, and cointegration: a test of four high inflation economies

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241 cited
  • 1982A Reexamination of Purchasing Power Parity: A Multicountry and Multiperiod Study171 cited
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    • 2011Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?18 cited