Purchasing power parities are calculated using the index number defined as a ratio of cost functions in two price situations. The definition does not require similarity of preference across countries. Necessary parameters are estimated using translogarithmic Hicksian budget shares. The results...

The performance of the Phillips and Perron unit root tests is examined using the optimal bandwidth selection procedure of Andrews and the pre-whitening procedure of Andrews and Monahan. It has been shown that they do not make significant improvements over the tests using fixed truncation lags.

Applying Hsiao's version of the Granger causality method, this paper examines the causality between fertility and female labour participation using transformed US data for the period 1948-93. The PP tests reveal that the original series are not stationary; therefore, a first differencing is...

Weak-form market efficiency states that past information cannot be used to consistently generate excess returns. So, technical analysis which uses past information on securities should not help generate abnormal profits consistently in a weak-form efficient market. In the present study, two...

Murthy and Ukpolo (1994) recently estimated a model of aggregate health care expenditure for the United States using cointegration techniques. Their choice of dependent variable, however, introduced the possibility of simultaneity bias in the error-correction model they presented. Their results...

The effect which the speed of adjustment parameter has on the statistical properties of the partial adjustment model, and estimates of its parameters, is investigated. It is shown that in the case of very rapid adjustment, the model approaches a classical (static) regression model, but in the...

This study applies cointegration tests with time-dependent dummies to assess the impact of the Gulf War on the relationship between the forward exchange rate and the spot exchange rate using the British pound and the Japanese yen in terms of the US dollar. Cointegration of the spot and forward...