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Purchasing power parity vs. uncovered interest rate parity for NAFTA countries: The value of incorporating time-varying parameter model
16 references·0 citing·39 second hop
Purchasing power parity vs. uncovered interest rate parity for NAFTA countries: The value of incorporating time-varying parameter model (2019)Purchasing power parity vs. uncovered int…Testing the theory of PPP for emerging market economies that practice flexible exchange rate regimes (2019)Testing the theory of PPP for…Revisiting purchasing power parity in G6 countries: an application of smooth time-varying cointegration approach (2016)Revisiting purchasing power p…The behavior of real exchange rate: Nonlinearity and breaks (2012)The behavior of real exchange…State of the Art Unit Root Tests and Purchasing Power Parity (2005)State of the Art Unit Root Te…The Purchasing Power Parity Debate (2004)The Purchasing Power Parity D…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…A Century of Purchasing-Power Parity (2002)A Century of Purchasing-Power…Long-run PPP may not hold after all (2000)Long-run PPP may not hold aft…COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS (1999)COINTEGRATING REGRESSIONS WIT…Threshold Cointegration (1997)Threshold CointegrationCanonical Cointegrating Regressions (1992)Canonical Cointegrating Regre…Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Pitfalls and Opportunities: W…Statistical Inference in Regressions with Integrated Processes: Part 2 (1989)Statistical Inference in Regr…Statistical Inference in Regressions with Integrated Processes: Part 1 (1988)Statistical Inference in Regr…Cointegration and Tests of Purchasing Power Parity (1988)Cointegration and Tests of Pu…Testing the Random Walk Hypothesis: Power versus Frequency of Observation (1985)Testing the Random Walk Hypot…Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Chapter 32 Perspectives on PPP and long-run real exchange rates (1995)Purchasing power parity and unit root tests using panel data (1996)Purchasing Power Parity and the Real Exchange Rate (2002)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)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)Understanding spurious regressions in econometrics (1986)Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Structural analysis of vector error correction models with exogenous I(1) variables (2000)Dealing with Structural Breaks (2005)Expectations and Exchange Rate Dynamics (1976)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)Inference in Linear Time Series Models with some Unit Roots (1990)Productivity Across Industries and Countries: Time Series Theory and Evidence (1996)Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window (2010)Testing for Granger causality in heterogeneous mixed panels (2010)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Market integration and convergence to the Law of One Price: evidence from the European car market (2004)No Price Like Home: Global House Prices, 1870–2012 (2017)Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation (2001)Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods (2011)An Empirical Evaluation of the Long-Run Risks Model for Asset Prices (2012)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Long memory and regime switching (2001)Testing for two-regime threshold cointegration in vector error-correction models (2002)Asymmetric Price Transmission: A Survey (2004)
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References

  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
  • 1992Canonical Cointegrating Regressions1,383 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots1,314 cited
  • 1997Threshold Cointegration1,042 cited
  • 2004The Purchasing Power Parity Debate1,034 cited
  • 1988Statistical Inference in Regressions with Integrated Processes: Part 1749 cited
  • 1989Statistical Inference in Regressions with Integrated Processes: Part 2521 cited
  • 1985Testing the Random Walk Hypothesis: Power versus Frequency of Observation475 cited
  • 2002A Century of Purchasing-Power Parity424 cited
  • 1988Cointegration and Tests of Purchasing Power Parity354 cited
  • 2000Long-run PPP may not hold after all299 cited
  • 1999COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS167 cited
  • 2005State of the Art Unit Root Tests and Purchasing Power Parity110 cited
  • 2019Testing the theory of PPP for emerging market economies that practice flexible exchange rate regimes24 cited
  • 2012The behavior of real exchange rate: Nonlinearity and breaks20 cited

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2016
Revisiting purchasing power parity in G6 countries: an application of smooth time-varying cointegration approach
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