This study examines the Casselian hypothesis that the removal of government restrictions on international trade tends to lead to purchasing power parity even if other barriers to trade continue to exist. Twenty pairs of countries within the Mercosur and the Andean trade agreements are tested for...

This paper introduces a test statistic that is robust to serial correlation/heteroskedasticity of unknown form in a single-equation cointegration environment that incorporates linear polynomial trend functions. The standard approach used to deal with heteroskedasticity and serial correlation in...

The simulation result of Nunes, Juan, and Newbold suggest that it is possible to estimate a spurious break for a regression model with I(1) disturbances. In this note, we provide a rigorous proof for this phenomenon. We also show that their finding applies to integrated regressors, so that a...

This paper studies the relationship between saving and investment rates in Japan and other 11 Asian countries. Most previous studies on the topic have almost exclusively focused on OECD countries. The augmented Dickey-Fuller and Phillips-Perron unit root tests indicate that for most of the 12...

Standard unit root tests and cointegration tests are sensitive to atypical events such as outliers and structural breaks. This paper uses outlier robust estimation techniques to reduce the impact of these events on cointegration analysis. As a byproduct of computing the robust estimator, we...

Long-run purchasing power is tested on 16 OECD countries using data from 1960 to 1994; PPP is rejected for some countries (Canada, Japan, Switzerland, Austria, Italy and Spain) and not rejected for others (Sweden, France, Holland and the United Kingdom). For the latter countries, impulse response...

The main purpose of this paper is to discern the dynamic causal relationships (in the Granger (temporal) sense) among sales, advertising and prices in the context of the Portuguese car market. The present research (based on multiple cointegration tests preceded by various unit root or...