By testing for the presence of multiple changes in persistence at a priori unknown dates in the real exchange rates spanning more than 100 years over different nominal exchange rate regimes, this note shows that the real exchange rates are more likely to be stationary during the fixed nominal...

By allowing for multiple changes in persistence, this note shows that the US/UK real exchange rate spanning two centuries is stationary. This result is consistent with the previous one in Lothian and Taylor (1996, 2000) and purchasing power parity is a useful approximation in the long run.

Possibly hitherto unnoticed cointegrating relationships among integrated components of data series are identified. If the components are cointegrated, the data are said to have hidden cointegration. The implication of hidden cointegration on modeling data series themselves is discussed through...

This is a corrigendum. We correct the mistakes in Basci and Caner, "Are Real Exchange Rates Nonlinear or Non-stationary? Evidence from a New Threshold Unit Root Test" 2005, vol.9.4, Article 2.

This article examines the validity of purchasing power parity by estimating long memory parameters with recently suggested exact local Whittle estimators of Shimotsu and Phillips (2005). Little evidence is found for stationarity in the real exchange rates spanning more than 100 years from 16...

The trends estimated by the Hodrick–Prescott (HP) filter are smooth by design and it is not easy to pinpoint their change-points. In this study, we locate their change-points by formulating the HP filter as a generalized unobserved components model with error terms of mixtures of normal...

A variable is defined to be self-generating if it can be forecast efficiently from its own past only. Conditions are derived for certain linear combinations to be self-generating in error correction models. Interestingly, there are only two candidates for self-generation in an error correction...

This note shows that a very simple model can generate returns that resemble most of the temporal and distributional behavior of long returns surprisingly well. The model is based on the stochastic unit root process introduced in Granger and Swanson (1997).

Standard unit root tests are not very powerful in drawing conclusions regarding the validity of Purchasing Power Parity (PPP). Rather than asking whether PPP holds throughout the whole sample period, we examine, in this study, if PPP holds sometimes by employing Hamilton-type (1989) Markov...

In this study, we test the Prebisch–Singer hypothesis on the secular decline of relative primary commodity prices with the extended Grilli and Yang (1988) data set, ending at 2010.” Rather than asking whether it holds for the whole sample period, we examine if the hypothesis holds sometimes...