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Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price
9 references·16 citing·41 second hop
Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price (2001)Potential Pitfalls for the Purchasing-Pow…The overvaluation of purchasing power parity (1998)The overvaluation of purchasi…Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation (1997)Transactions Costs and Nonlin…Threshold Cointegration (1997)Threshold CointegrationNonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited (1997)Nonlinear Aspects of Goods-Ma…Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries (1996)Real Exchange Rate Behavior: …A panel project on purchasing power parity: Mean reversion within and between countries (1996)A panel project on purchasing…Intertemporal Substitution in Consumption (1988)Intertemporal Substitution in…How Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…Effects of model specification on tests for unit roots in macroeconomic data (1987)Effects of model specificatio…The Billion Prices Project: Using Online Prices for Measurement and Research (2016)The Billion Prices Project: U…Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates (2010)Smooth breaks and non-linear …Tourism expansion, tourism uncertainty and economic growth: New evidence from Taiwan and Korea (2009)Tourism expansion, tourism un…Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod‐Balassa‐Samuelson Effect? (2008)Real Exchange Rates Over the …Markets in China and Europe on the Eve of the Industrial Revolution (2007)Markets in China and Europe o…Real exchange rates and Purchasing Power Parity: mean-reversion in economic thought (2006)Real exchange rates and Purch…Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? (2005)Viewpoint: Towards a solution…Market integration and convergence to the Law of One Price: evidence from the European car market (2004)Market integration and conver…Purchasing Power Parity (2003)Purchasing Power ParityNonlinear dynamics in deviations from the law of one price: a broad-based empirical study (2003)Nonlinear dynamics in deviati…Commodity currencies (2003)Commodity currenciesTesting the monetary model of exchange rate determination: new evidence from a century of data (2002)Testing the monetary model of…Purchasing Power Parity and the Real Exchange Rate (2002)Purchasing Power Parity and t…PPP Strikes Back: Aggregation And the Real Exchange Rate (2002)PPP Strikes Back: Aggregation…A Century of Purchasing-Power Parity (2002)A Century of Purchasing-Power…The Transfer Problem Revisited: Net Foreign Assets and Real Exchange Rates (2000)The Transfer Problem Revisite…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Time to Build and Aggregate Fluctuations (1982)A Model of Growth Through Creative Destruction (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Expectations and Exchange Rate Dynamics (1976)Testing for a Unit Root in Time Series Regression (1988)Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles (2001)The Economics of Exchange Rates (2003)The Purchasing Power Parity Debate (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Structural Analysis of Cointegrating VARs (1998)Testing for two-regime threshold cointegration in vector error-correction models (2002)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Why Does Stock Market Volatility Change Over Time? 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this work references cited by second hop

References

  • 1988Intertemporal Substitution in Consumption1,567 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 1998The overvaluation of purchasing power parity1,208 cited
  • 1997Threshold Cointegration1,042 cited
  • 1996Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries886 cited
  • 1997Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation750 cited
  • 1996A panel project on purchasing power parity: Mean reversion within and between countries681 cited
  • 1987Effects of model specification on tests for unit roots in macroeconomic data637 cited
  • 1997Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited560 cited

Cited by

  • 2003Commodity currencies513 cited
  • 2002PPP Strikes Back: Aggregation And the Real Exchange Rate478 cited
  • 2002A Century of Purchasing-Power Parity424 cited
  • 2004Market integration and convergence to the Law of One Price: evidence from the European car market391 cited
  • 2000The Transfer Problem Revisited: Net Foreign Assets and Real Exchange Rates332 cited
  • 2002Purchasing Power Parity and the Real Exchange Rate

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330 cited
  • 2010Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates319 cited
  • 2016The Billion Prices Project: Using Online Prices for Measurement and Research302 cited
  • 2009Tourism expansion, tourism uncertainty and economic growth: New evidence from Taiwan and Korea294 cited
  • 2007Markets in China and Europe on the Eve of the Industrial Revolution291 cited
  • 2002Testing the monetary model of exchange rate determination: new evidence from a century of data287 cited
  • 2005Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?273 cited
  • 2008Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod‐Balassa‐Samuelson Effect?259 cited
  • 2003Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study243 cited
  • 2006Real exchange rates and Purchasing Power Parity: mean-reversion in economic thought230 cited
  • 2003Purchasing Power Parity196 cited