Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?
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- Guglielmo Maria Caporale & Christoph Hanck, 2009. "Cointegration tests of PPP: do they also exhibit erratic behaviour?," Applied Economics Letters, Taylor & Francis Journals, vol. 16(1), pages 9-15.
- Guglielmo Maria Caporale & Christoph Hanck, 2006. "Cointegration Tests Of Ppp:Do They Also Exhibit Erratic Behaviour?," Economics and Finance Discussion Papers 06-18, Economics and Finance Section, School of Social Sciences, Brunel University.
References listed on IDEAS
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Cited by:
- Guglielmo Maria Caporale & Christoph Hanck, 2010.
"Are PPP tests erratically behaved? Some panel evidence,"
International Review of Applied Economics, Taylor & Francis Journals, vol. 24(2), pages 203-221.
- Caporale, Guglielmo Maria & Hanck, Christoph, 2006. "Are PPP Tests Erratically Behaved? Some Panel Evidence," Technical Reports 2006,43, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Guglielmo Maria Caporale & Christoph Hanck, 2006. "Are PPP Tests Erratically Behaved? Some Panel Evidence," Economics and Finance Discussion Papers 06-22, Economics and Finance Section, School of Social Sciences, Brunel University.
- Sandeep Mazumder & Ryan Pahl, 2013. "What if the UK had Joined the Euro in 1999?," Open Economies Review, Springer, vol. 24(3), pages 447-470, July.
- Georgios Loukopoulos & Dimitrios Antonopoulos, 2015. "Purchasing Power Parity: A Unit Root, Cointegration and VAR Analysis in Emerging and Advanced Countries," Business and Economic Research, Macrothink Institute, vol. 5(1), pages 262-279, June.
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More about this item
Keywords
Purchasing Power Parity (PPP); real exchange rate; cointegration; stationarity; parameter instability;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2006-10-14 (Central Banking)
- NEP-ECM-2006-10-14 (Econometrics)
- NEP-ETS-2006-10-14 (Econometric Time Series)
- NEP-FMK-2006-10-14 (Financial Markets)
- NEP-IFN-2006-10-14 (International Finance)
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