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Size Distortions Of Tests Of The Null Hypothesis Of Stationarity: Evidence And Implications For The PPP Debate
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Cited by:
- James R. Lothian & Mark P. Taylor, 2008.
"Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod‐Balassa‐Samuelson Effect?,"
Economic Journal, Royal Economic Society, vol. 118(532), pages 1742-1763, October.
- JamesR. Lothian & MarkP. Taylor, 2008. "Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect?," Economic Journal, Royal Economic Society, vol. 118(532), pages 1742-1763, October.
- Lothian, James R. & Taylor, Mark P., 2006. "Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect?," Economic Research Papers 269738, University of Warwick - Department of Economics.
- Lothian, James R. & Taylor, Mark P., 2006. "Real Exchange Rates Over the Past Two Centuries : How Important is the Harrod-Balassa-Samuelson Effect?," The Warwick Economics Research Paper Series (TWERPS) 768, University of Warwick, Department of Economics.
- Ana Iregui & Jesús Otero, 2013.
"The long-run behaviour of the terms of trade between primary commodities and manufactures: a panel data approach,"
Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 12(1), pages 35-56, April.
- Jesús Otero & Ana María Iregui, 2011. "The Long-Run Behaviour of the Terms of Trade between Primary Commodities and Manufactures: A Panel Data Approach," WIDER Working Paper Series wp-2011-071, World Institute for Development Economic Research (UNU-WIDER).
- Iregui, Ana María & Otero, Jesús, 2013. "The long-run behaviour of the terms of trade between primary commodities and manufactures: A panel data approach," 87th Annual Conference, April 8-10, 2013, Warwick University, Coventry, UK 158682, Agricultural Economics Society.
- Olivier Darné, 2004. "The effects of additive outliers on stationarity tests: a monte carlo study," Economics Bulletin, AccessEcon, vol. 3(16), pages 1-8.
- Kurozumi, Eiji, 2009.
"Construction of Stationarity Tests with Less Size Distortions,"
Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 50(1), pages 87-105, June.
- Kurozumi, Eiji & 黒住, 英司, 2005. "Construction of Stationarity Tests with Less Size Distortions," Discussion Papers 2005-12, Graduate School of Economics, Hitotsubashi University.
- Kilian, Lutz, 2022.
"Facts and fiction in oil market modeling,"
Energy Economics, Elsevier, vol. 110(C).
- Kilian, Lutz, 2019. "Facts and Fiction in Oil Market Modeling," CEPR Discussion Papers 14047, C.E.P.R. Discussion Papers.
- Lutz Kilian, 2019. "Facts and Fiction in Oil Market Modeling," CESifo Working Paper Series 7902, CESifo.
- Kilian, Lutz, 2021. "Facts and fiction in oil market modeling," CFS Working Paper Series 661, Center for Financial Studies (CFS).
- Lutz Kilian, 2019. "Facts and Fiction in Oil Market Modeling," Working Papers 1907, Federal Reserve Bank of Dallas, revised 21 Dec 2020.
- Jomana Amara, 2011. "Testing for stationarity using covariates: an application to purchasing power parity," Applied Economics Letters, Taylor & Francis Journals, vol. 18(13), pages 1295-1301.
- Kilian, Lutz & Zha, Tao, 1999.
"Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors,"
CEPR Discussion Papers
2334, C.E.P.R. Discussion Papers.
- Kilian, L. & Zha, T., 1999. "Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors," Papers 99-08, Michigan - Center for Research on Economic & Social Theory.
- Lutz Kilian & Tao Zha, 1999. "Quantifying the half-life of deviations from PPP: The role of economic priors," FRB Atlanta Working Paper 99-21, Federal Reserve Bank of Atlanta.
- Kilian, L. & Zha, T., 1999. "Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors," Working Papers 450, Research Seminar in International Economics, University of Michigan.
- Ivan Paya & David Peel, 2005.
"The process followed by PPP data. On the properties of linearity tests,"
Applied Economics, Taylor & Francis Journals, vol. 37(21), pages 2515-2522.
- Ivan Paya & David A. Peel, 2005. "The Process Followed By Ppp Data. On The Properties Of Linearity Tests," Working Papers. Serie AD 2005-23, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Ahmad Zubaidi Baharumshah & Chan Tze Haw & A.Mansur M. Masih & Evan Lau, 2011.
"Financial integration of East Asian economies: evidence from real interest parity,"
Applied Economics, Taylor & Francis Journals, vol. 43(16), pages 1979-1990.
- Baharumshah, Ahmad Zubaidi & Chan, Tze-Haw & Masih, A. Mansur A., 2005. "Financial Integration of East Asian Economies: Evidence from Real Interest Parity," MPRA Paper 2210, University Library of Munich, Germany, revised 2007.
- Jiang, Bibo & Lu, Ye & Park, Joon Y., 2020.
"Testing for Stationarity at High Frequency,"
Journal of Econometrics, Elsevier, vol. 215(2), pages 341-374.
- Jiang, Bibo & Lu, Ye & Park, Joon Y., 2018. "Testing for Stationarity at High Frequency," Working Papers 2018-09, University of Sydney, School of Economics.
- Mark J. Holmes & Theodore Panagiotidis & Jesus Otero, 2008. "Are EU budgets stationary?," Discussion Paper Series 2008_07, Department of Economics, University of Macedonia, revised Sep 2008.
- DUFOUR, Jean-Marie & JOUINI, Tarek, 2005.
"Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing,"
Cahiers de recherche
16-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO.
- DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," Cahiers de recherche 2005-12, Universite de Montreal, Departement de sciences economiques.
- Matteo Pelagatti & Emilio Colombo, 2012. "Unpuzzling the Purchasing Power Parity Puzzle," Working Papers 221, University of Milano-Bicocca, Department of Economics, revised Mar 2012.
- Jesús Otero & Luis Fernando Gamboa & Andrés García-Suaza, 2011. "An analysis of the relationship between wages in the public and private sector in colombia: a panel data approach," Documentos de Trabajo 8738, Universidad del Rosario.
- Güzin Bayar, 2022. "Turkey's sectoral exports: A competitiveness approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2268-2289, April.
- Basci Erdem & Caner Mehmet & Yoon Gawon, 2006. "Corrigendum to "Are Real Exchange Rates Nonlinear or Non-Stationary? Evidence from a New Threshold Unit Root Test"," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(2), pages 1-6, May.
- Sonali DAS , Rangan GUPTA & Patrick A. KAYA, 2010.
"Convergence Of Metropolitan House Prices In South Africa: A Re-Examination Using Efficient Unit Root Tests,"
Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 10(1).
- Sonali Das & Rangan Gupta & Patrick Agu Kaya, 2009. "Convergence of Metropolitan House Prices in South Africa: A Re-Examination Using Efficient Unit Root Tests," Working Papers 200922, University of Pretoria, Department of Economics.
- Grassi, S. & Proietti, T., 2014.
"Characterising economic trends by Bayesian stochastic model specification search,"
Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 359-374.
- Grassi, Stefano & Proietti, Tommaso, 2010. "Characterizing economic trends by Bayesian stochastic model specifi cation search," MPRA Paper 22569, University Library of Munich, Germany.
- Stefano Grassi & Tommaso Proietti, 2011. "Characterizing economic trends by Bayesian stochastic model specification search," CREATES Research Papers 2011-16, Department of Economics and Business Economics, Aarhus University.
- Stefano Grassi & Tommaso Proietti, 2010. "Characterizing economic trends by Bayesian stochastic model specification search," EERI Research Paper Series EERI_RP_2010_25, Economics and Econometrics Research Institute (EERI), Brussels.
- Víctor M. Cuevas Ahumada, 2009. "La competitividad internacional manufacturera en Argentina, México y Turquía: una investigación empírica," Economía, Gestión y Desarrollo 9355, Universidad Javeriana - Cali.
- Vishal Chandr Jaunky & Robert Lundmark, 2015. "Are Shocks to Wood Fuel Production Permanent? Evidence from the EU," Energies, MDPI, vol. 8(11), pages 1-11, November.
- Holmes, Mark J. & Otero, Jesús & Panagiotidis, Theodore, 2011.
"The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies,"
International Review of Economics & Finance, Elsevier, vol. 20(4), pages 679-689, October.
- Mark J. Holmes & Theodore Panagiotidis & Jesus Otero, 2010. "The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian Economies," Discussion Paper Series 2010_18, Department of Economics, University of Macedonia, revised Nov 2009.
- Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2010. "The Term Structure of Interest Rates, the Expectations Hypothesis and International Financial Integration: Evidence from Asian Economies," Working Paper series 34_10, Rimini Centre for Economic Analysis.
- Eyal Dvir & Ken Rogoff, 2009.
"The Three Epochs of Oil,"
Boston College Working Papers in Economics
706, Boston College Department of Economics.
- Eyal Dvir & Kenneth S. Rogoff, 2009. "Three Epochs of Oil," NBER Working Papers 14927, National Bureau of Economic Research, Inc.
- Gomez-Biscarri, Javier & Hualde, Javier, 2015.
"A residual-based ADF test for stationary cointegration in I(2) settings,"
Journal of Econometrics, Elsevier, vol. 184(2), pages 280-294.
- Javier Gómez Biscarri & Javier Hualde, 2014. "A residual-based ADF test for stationary cointegration in I (2) settings," Economics Working Papers 1439, Department of Economics and Business, Universitat Pompeu Fabra.
- Javier Gómez Biscarri & Javier Hualde, 2014. "A Residual-Based ADF Test for Stationary Cointegration in I (2) Settings," Working Papers 779, Barcelona School of Economics.
- Sin-Yu Ho & Bernard Njindan Iyke, 2017.
"Does Financial Development Lead to Poverty Reduction in China? Time Series Evidence,"
Journal of Economics and Behavioral Studies, AMH International, vol. 9(1), pages 99-112.
- Ho, Sin-Yu & Njindan Iyke, Bernard, 2017. "Does Financial Development Lead to Poverty Reduction in China? Time Series Evidence," MPRA Paper 78922, University Library of Munich, Germany.
- Syed A. Basher & Josep Lluis Carrión-i-Silvestre, 2008. "Deconstructing Shocks and Persistence in OECD Real Exchange Rates," Working Papers XREAP2008-06, Xarxa de Referència en Economia Aplicada (XREAP), revised Jun 2008.
- Francis Ahking, 2003.
"Efficient unit root tests of real exchange rates in the post-Bretton Woods era,"
Economics Bulletin, AccessEcon, vol. 6(7), pages 1-12.
- Francis W. Ahking, 2002. "Efficient Unit Root Tests of real Exchange Rates in the Post-Bretton Woods Era," Working papers 2002-17, University of Connecticut, Department of Economics.
- Rossi, Barbara, 2005.
"Confidence Intervals for Half-Life Deviations From Purchasing Power Parity,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 432-442, October.
- Rossi, Barbara, 2002. "Confidence Intervals for Half-life Deviations from Purchasing Power Parity," Working Papers 02-08, Duke University, Department of Economics.
- Njindan Iyke , Bernard & Odhiambo, Nicholas M., 2015. "A re-examination of long-run Purchasing Power Parity (PPP) hypothesis: the case of two Southern African countries," Working Papers 18980, University of South Africa, Department of Economics.
- Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2003.
"What Happens After a Technology Shock?,"
NBER Working Papers
9819, National Bureau of Economic Research, Inc.
- Lawrence J. Christiano & Martin S. Eichenbaum & Robert J. Vigfusson, 2003. "What happens after a technology shock?," International Finance Discussion Papers 768, Board of Governors of the Federal Reserve System (U.S.).
- Njindan Iyke, Bernard, 2015. "On The Term Structure of South African Interest Rates: Cointegration and Threshold Adjustment," MPRA Paper 67681, University Library of Munich, Germany.
- Paresh Kumar Narayan, 2005. "New evidence on purchasing power parity from 17 OECD countries," Applied Economics, Taylor & Francis Journals, vol. 37(9), pages 1063-1071.
- Mark Holmes & Jesús Otero & Theodore Panagiotidis, 2010.
"Are EU budget deficits stationary?,"
Empirical Economics, Springer, vol. 38(3), pages 767-778, June.
- Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2009. "Are Eu Budget Deficits Stationary?," Working Paper series 17_09, Rimini Centre for Economic Analysis.
- Cho, Cheol-Keun & Amsler, Christine & Schmidt, Peter, 2015. "A test of the null of integer integration against the alternative of fractional integration," Journal of Econometrics, Elsevier, vol. 187(1), pages 217-237.
- Sanghamitra Bandyopadhyay, 2016.
"The persistence of inequality across Indian states,"
Working Papers
74, Queen Mary, University of London, School of Business and Management, Centre for Globalisation Research.
- Sanghamitra Bandyopadhyay, 2016. "The persistence of inequality across Indian states," CSAE Working Paper Series 2016-26, Centre for the Study of African Economies, University of Oxford.
- Mark Holmes & Jesús Otero & Theodore Panagiotidis, 2012.
"PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-Sectional Dependency and Structural Breaks,"
Open Economies Review, Springer, vol. 23(5), pages 767-783, November.
- Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2011. "PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-sectional Dependency and Structural Breaks," Koç University-TUSIAD Economic Research Forum Working Papers 1135, Koc University-TUSIAD Economic Research Forum.
- Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2011. "PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, cross-Sectional Dependency and Structural Breaks," Working Paper series 51_11, Rimini Centre for Economic Analysis.
- Mark J. Holmes & Jesus Otero & Theodore Panagiotidis, 2011. "PPP in OECD countries: An analysis of real exchange rate stationarity, cross-sectional dependency and strucutral breaks," Discussion Paper Series 2011_17, Department of Economics, University of Macedonia, revised Nov 2011.
- Jushan Bai & Serena Ng, 2001.
"A New Look at Panel Testing of Stationarity and the PPP Hypothesis,"
Boston College Working Papers in Economics
518, Boston College Department of Economics.
- Jushan Bai & Serena Ng, 2001. "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," Economics Working Paper Archive 467, The Johns Hopkins University,Department of Economics.
- Sevan Gulesserian & Mohitosh Kejriwal, 2014. "On the power of bootstrap tests for stationarity: a Monte Carlo comparison," Empirical Economics, Springer, vol. 46(3), pages 973-998, May.
- Wasel Shadat, 2011. "On the Nonparametric Tests of Univariate GARCH Regression Models," Economics Discussion Paper Series 1115, Economics, The University of Manchester.
- Xiufeng Xing & Yingjia Cong & Yu Wang & Xueqing Wang, 2023. "The Impact of COVID-19 and War in Ukraine on Energy Prices of Oil and Natural Gas," Sustainability, MDPI, vol. 15(19), pages 1-16, September.
- Kung-Sik Chan & Simone Giannerini & Greta Goracci & Howell Tong, 2020. "Testing for threshold regulation in presence of measurement error with an application to the PPP hypothesis," Papers 2002.09968, arXiv.org, revised Nov 2021.
- Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2010.
"On the Stationarity of Current Account Deficits in the European Union,"
Review of International Economics, Wiley Blackwell, vol. 18(4), pages 730-740, September.
- Mark J. Holmes & Theodore Panagiotidis & Jesus Otero, 2009. "On the stationarity of current account deficits in the European Union," Discussion Paper Series 2009_18, Department of Economics, University of Macedonia, revised Dec 2009.
- Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2010. "On the Stationarity of Current Account Deficits in the European Union," Working Paper series 05_10, Rimini Centre for Economic Analysis.
- Syed A. Basher & Josep Lluís Carrion-i-Silvestre, 2007. "Another Look at the Null of Stationary RealExchange Rates. Panel Data with Structural Breaks and Cross-section Dependence," IREA Working Papers 200710, University of Barcelona, Research Institute of Applied Economics, revised May 2007.
- Müller, Ulrich K. & Watson, Mark W., 2013.
"Low-frequency robust cointegration testing,"
Journal of Econometrics, Elsevier, vol. 174(2), pages 66-81.
- Ulrich Müller & Mark W. Watson, 2009. "Low-Frequency Robust Cointegration Testing," NBER Working Papers 15292, National Bureau of Economic Research, Inc.
- Marques, Luís Miguel & Fuinhas, José Alberto & Marques, António Cardoso, 2012. "Interação entre o mercado acionista e o crescimento económico: Uma apreciação do caso português (1993-2010) [Interaction between the stock market and economic growth: An assessment of the Portugues," MPRA Paper 39808, University Library of Munich, Germany.
- Matteo Pelagatti & Emilio Colombo, 2015.
"On the Empirical Failure of Purchasing Power Parity Tests,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(6), pages 904-923, September.
- Matteo Pelagatti & Emilio Colombo, 2012. "On the empirical failure of purchasing power parity tests," Working Papers 20120501, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica.
- Dufour, Jean-Marie & Jouini, Tarek, 2006. "Finite-sample simulation-based inference in VAR models with application to Granger causality testing," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 229-254.
- Martin C. Arnold & Christoph Hanck, 2019. "On Combining Evidence from Heteroskedasticity Robust Panel Unit Root Tests in Pooled Regressions," JRFM, MDPI, vol. 12(3), pages 1-22, July.
- Darne, Olivier & Diebolt, Claude, 2004.
"Unit roots and infrequent large shocks: new international evidence on output,"
Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1449-1465, October.
- Olivier Darné & Claude Diebolt, 2004. "Unit Roots and Infrequent Large Shocks : New International Evidence on Output," Post-Print hal-00279015, HAL.
- Kristian Jönsson, 2011.
"Testing Stationarity in Small‐ and Medium‐Sized Samples when Disturbances are Serially Correlated,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(5), pages 669-690, October.
- Jönsson, Kristian, 2006. "Testing Stationarity in Small and Medium-Sized Samples when Disturbances are Serially Correlated," Working Papers 2006:20, Lund University, Department of Economics, revised 09 Nov 2009.
- Amsler Christine & Schmidt Peter, 2012. "A Comparison of the Robustness of Several Tests of Short Memory to Autocorrelated Errors," Journal of Econometric Methods, De Gruyter, vol. 1(1), pages 56-66, August.
- Miguel A. León‐Ledesma & Peter McAdam, 2004.
"Unemployment, Hysteresis And Transition,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 51(3), pages 377-401, August.
- León-Ledesma, Miguel A. & McAdam, Peter, 2003. "Unemployment, hysteresis and transition," Working Paper Series 234, European Central Bank.
- Leon-Ledesma, Miguel & Peter McAdam, 2003. "Unemployment, Hysterisis and Transition," Royal Economic Society Annual Conference 2003 137, Royal Economic Society.
- Soon, Siew-Voon & Baharumshah, Ahmad Zubaidi & Mohamad Shariff, Nurul Sima, 2017. "The persistence in real interest rates: Does it solve the intertemporal consumption behavior puzzle?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 36-51.
- Péter Farkas, 2013. "Counting Process Generated by Boundary-crossing Events. Theory and Statistical Applications," CEU Working Papers 2013_4, Department of Economics, Central European University.
- James Morley & Irina B. Panovska & Tara M. Sinclair, 2013. "Testing Stationarity for Unobserved Components Models," Discussion Papers 2012-41A, School of Economics, The University of New South Wales.
- Mello, Marcelo, 2010. "Stochastic Convergence Across Brazilian States," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 30(1), October.
- Philip Arestis & Ambika D. Luintel & Kul B. Luintel, 2004.
"Does Financial Structure Matter?,"
Economics Working Paper Archive
wp_399, Levy Economics Institute.
- Philip Arestis & Ambika D. Luintel & Kul B. Luintel, 2004. "Does Financial Structure Matter?," Finance 0401006, University Library of Munich, Germany.
- Philip Arestis & Ambika Luintel & Kul Luintel, 2004. "Does Financial Structure Matter?," Money Macro and Finance (MMF) Research Group Conference 2004 61, Money Macro and Finance Research Group.
- Guglielmo Maria Caporale & Mario Cerrato, 2004.
"Panel Data Tests Of Ppp: A Critical Overview,"
Economics and Finance Discussion Papers
04-18, Economics and Finance Section, School of Social Sciences, Brunel University.
- Caporale, Guglielmo Maria & Cerrato, Mario, 2004. "Panel Data Tests of PPP. A Critical Overview," Economics Series 159, Institute for Advanced Studies.
- Guglielmo Maria Caporale & Mario Cerrato, 2004. "Panel Data Tests Of Ppp: A Critical Overview," Public Policy Discussion Papers 04-18, Economics and Finance Section, School of Social Sciences, Brunel University.
- Rodriguez, Gonzalo & Bande, Roberto, 2014. "Market differences in wild and farmed marine fish in the Spanish seafood market," MPRA Paper 59142, University Library of Munich, Germany.
- Njindan Iyke, Bernard, 2015. "Real Exchange Rates Persistence in the West African Monetary Zone: A Revisit of the PPP Puzzle," MPRA Paper 67282, University Library of Munich, Germany.
- Guzin BAYAR & Selman TOKPUNAR, 2013. "Turk Lirasi Reel Kuru Denge Degerinde Mi?," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 13(4), pages 405-426.
- Ahmad Zubaidi Baharumshah & Raj Aggarwal & Chan Tze Haw, 2007.
"East Asian Real Exchange Rates and PPP: New Evidence from Panel-data Tests,"
Global Economic Review, Taylor & Francis Journals, vol. 36(2), pages 103-119.
- Baharumshah, Ahmad Zubaidi & Aggarwal, Raj & Chan, Tze-Haw, 2005. "East Asian Real Exchange Rates and PPP: New Evidence from panel-data tests," MPRA Paper 2023, University Library of Munich, Germany, revised 2007.
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"Using mean reversion as a measure of persistence,"
Economic Modelling, Elsevier, vol. 27(1), pages 262-273, January.
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- Robalo Marques, Carlos & Dias, Daniel, 2005. "Using mean reversion as a measure of persistence," Working Paper Series 450, European Central Bank.
- Bernard Njindan Iyke & Nicholas M. Odhiambo, 2015.
"The Determinants of Long-run Real Exchange Rate in South Africa: A Fundamental Equilibrium Approach,"
Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 15(3), pages 319-336, September.
- Njindan Iyke Bernard & Odhiambo Nicholas M., 2015. "The Determinants of Long-run Real Exchange Rate in South Africa: A Fundamental Equilibrium Approach," Global Economy Journal, De Gruyter, vol. 15(3), pages 319-336, September.
- Njindan Iyke , Bernard & Odhiambo, Nicholas M., 2015. "The determinants of long-run real exchange rates in South Africa: a fundamental equilibrium approach," Working Papers 18979, University of South Africa, Department of Economics.
- Markku Lanne & Pentti Saikkonen, 2003.
"Reducing size distortions of parametric stationarity tests,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 24(4), pages 423-439, July.
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- Paul Alagidede & George Tweneboah & Anokye M. Adam, 2008. "Nominal Exchange Rates and Price Convergence in the West African Monetary Zone," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 7(3), pages 181-198, December.
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- Jorge Selaive & Vicente Tuesta, 2003.
"Net Foreign Assets And Imperfect Financial Integration: An Empirical Approach,"
Working Papers Central Bank of Chile
252, Central Bank of Chile.
- Jorge Selaive ; Vicente Tuesta, 2004. "Net Foreign Assets And Imperfect Financial Integration: An Empirical Approach," Econometric Society 2004 Latin American Meetings 90, Econometric Society.
- Bernard Njindan Iyke, 2017. "On the term structure of South African interest rates: cointegration and threshold adjustment," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 9(4), pages 300-321.
- Ho, Sin-Yu & Njindan Iyke, Bernard, 2017. "Empirical Reassessment of Bank-based Financial Development and Economic Growth in Hong Kong," MPRA Paper 78920, University Library of Munich, Germany.
- Luintel, Kul B. & Khan, Mosahid & Arestis, Philip & Theodoridis, Konstantinos, 2008.
"Financial structure and economic growth,"
Journal of Development Economics, Elsevier, vol. 86(1), pages 181-200, April.
- Luintel, Kul B & Khan, Mosahid & Arestis, Philip & Theodoridis, Konstantinos, 2008. "Financial Structure and Economic Growth," Cardiff Economics Working Papers E2008/3, Cardiff University, Cardiff Business School, Economics Section.
- Daiki Maki, 2008. "The Performance of Variance Ratio Unit Root Tests Under Nonlinear Stationary TAR and STAR Processes: Evidence from Monte Carlo Simulations and Applications," Computational Economics, Springer;Society for Computational Economics, vol. 31(1), pages 77-94, February.
- Ulrich K. Müller, 2002. "Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series," University of St. Gallen Department of Economics working paper series 2002 2002-26, Department of Economics, University of St. Gallen.
- Amsler Christine & Schmidt Peter & Vogelsang Timothy J, 2009. "The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 1(1), pages 1-44, December.
- N.D. Geomelos & E. Xideas, 2014. "Forecasting spot prices in bulk shipping using multivariate and univariate models," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-37, December.
- Michael Frömmel & Darko B. Vukovic & Jinyuan Wu, 2022. "The Dollar Exchange Rate, Adjustment to the Purchasing Power Parity, and the Interest Rate Differential," Mathematics, MDPI, vol. 10(23), pages 1-17, November.
- Francis W. Ahking, 2004. "The Power of the "Objective" Bayesian Unit-Root Test," Working papers 2004-14, University of Connecticut, Department of Economics.
- Joakim Westerlund, 2005.
"A Panel CUSUM Test of the Null of Cointegration,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(2), pages 231-262, April.
- Westerlund, Joakim, 2003. "A Panel CUSUM Test of the Null of Cointegration," Working Papers 2003:15, Lund University, Department of Economics.
- Olivier Darné & Jean‐François Hoarau, 2007. "Further Evidence On Mean Reversion In The Australian Exchange Rate," Bulletin of Economic Research, Wiley Blackwell, vol. 59(4), pages 383-395, October.
- Nuno Alves & Jose Brandao de Brito & Sandra Gomes & Joao Sousa, 2009. "The transmission of monetary policy and technology shocks in the euro area," Applied Economics, Taylor & Francis Journals, vol. 43(8), pages 917-927.
- Ana Iregui & Jesús Otero, 2011.
"Testing the law of one price in food markets: evidence for Colombia using disaggregated data,"
Empirical Economics, Springer, vol. 40(2), pages 269-284, April.
- Ana María Iregui & Jesús Otero, 2008. "Testing the law of one price in food markets: evidence for Colombia using disaggregated data," Documentos de Trabajo 5102, Universidad del Rosario.
- Melo, Patricia C. & Sobreira, Nuno & Goulart, Pedro, 2019. "Estimating the long-run metro demand elasticities for Lisbon: A time-varying approach," Transportation Research Part A: Policy and Practice, Elsevier, vol. 126(C), pages 360-376.
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