Essays on applications of I(1) and I(2) cointegrated VAR models on issues in international price parties

Defence date: 6 June 2003Examining Board: Søren Johansen, Supervisor, External EUI and Copenhagen ; Anindya Banerjee, EUI ; Marius Ooms, Free University Amsterdam, Dept. of Econometrics ; Andrew Harvey, University of Cambridge, Faculty of Economics and PoliticsFirst made available online on 23 April 2018-- Stock market integration and the cointegrated VAR -- Does the PPP hold within the US? -- PPP, cointegration, and non-stationary inflation -- I(2)-to-I(l) transformation and deterministic term