Add to ORKGThe purpose of this paper is to investigate the ability of parameter instability tests in regressions with I(1) processes to discriminate between changes in the cointegrating relationship and changes in the marginal distribution of the regressors. Using annual data for the G-7 countries and the Purchasing Power Parity, we conclude that the regression eoefficient between the price level differential and the exchange rate has indeed remained stable during the 20th century and find ample evidence supporting the PPP
We examine long-run PPP between Germany, Great Britain, Japan and the United States over the period ...
This thesis develops new techniques for analyzing cointegrated relationships in panel data. The firs...
We investigate the empirical support to the Purchasing Power Parity hypothesis in sixteen real excha...
The purpose of this paper is to investigate the ability of parameter instability tests in regression...
In recent work Im, Lee, and Enders (2006) use stationary instrumental variables to test for cointegr...
The aim of this study is to determine if nonlinearities have affected purchasing power parity (PPP) ...
In this study, we will re-examine the long-run PPP and UIP relationships by using standard cointegra...
We analyse whether tests of PPP exhibit erratic behaviour (as previously reported by Caporale et al....
WOS:000282744900007 (Nº de Acesso Web of Science)In this paper we propose a time-varying vector erro...
We test long-run PPP within a general model of cointegration of linear and nonlinear form. Nonlinear...
PPP (purchasing power parity) explaining the longrun behaviour of nominal exchange rates is one of t...
In this paper, we develop new threshold cointegration tests with SETAR and MTAR adjustment allowing ...
In this paper we examine several approaches to detecting changes in the adjustment coefficients in c...
This paper applies the recently developed maximum-likelihood-panel cointegration method of Larsson a...
We test long–run PPP within a general model of cointegration of linear and nonlinear form. Nonlinear...
We examine long-run PPP between Germany, Great Britain, Japan and the United States over the period ...
This thesis develops new techniques for analyzing cointegrated relationships in panel data. The firs...
We investigate the empirical support to the Purchasing Power Parity hypothesis in sixteen real excha...
The purpose of this paper is to investigate the ability of parameter instability tests in regression...
In recent work Im, Lee, and Enders (2006) use stationary instrumental variables to test for cointegr...
The aim of this study is to determine if nonlinearities have affected purchasing power parity (PPP) ...
In this study, we will re-examine the long-run PPP and UIP relationships by using standard cointegra...
We analyse whether tests of PPP exhibit erratic behaviour (as previously reported by Caporale et al....
WOS:000282744900007 (Nº de Acesso Web of Science)In this paper we propose a time-varying vector erro...
We test long-run PPP within a general model of cointegration of linear and nonlinear form. Nonlinear...
PPP (purchasing power parity) explaining the longrun behaviour of nominal exchange rates is one of t...
In this paper, we develop new threshold cointegration tests with SETAR and MTAR adjustment allowing ...
In this paper we examine several approaches to detecting changes in the adjustment coefficients in c...
This paper applies the recently developed maximum-likelihood-panel cointegration method of Larsson a...
We test long–run PPP within a general model of cointegration of linear and nonlinear form. Nonlinear...
We examine long-run PPP between Germany, Great Britain, Japan and the United States over the period ...
This thesis develops new techniques for analyzing cointegrated relationships in panel data. The firs...
We investigate the empirical support to the Purchasing Power Parity hypothesis in sixteen real excha...