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A lagrange multiplier-type test for idiosyncratic unit roots in the exact factor model under misspecification

Zhou, Xingwu; Solberger, Martin - 2013

Persistent link: https://www.econbiz.de/10010199465

On the degree of homogeneity in dynamic heterogeneous panel data models

Offermanns, Christian J. - 2014

We propose a semi-parametric approach to heterogeneous dynamic panel data modelling. The method generalizes existing … equilibrium exchange rate determination in a cross-country panel, we find evidence of largely heterogeneous adjustment and more …

Persistent link: https://www.econbiz.de/10010414225

Equilibrium real exchange rate estimates across time and space

Fischer, Christoph - 2019

Equilibrium real exchange rate and corresponding misalignment estimates differ tremendously depending on the panel … cross-section (space) variation in the panel. The study shows that conventional panel estimation methods (pooled OLS, fixed … literature to show that the distortion is generally very large. This suggests the use of the CRE model for the panel estimation …

Persistent link: https://www.econbiz.de/10011998982

Why frequency matters for unit root testing

Boswijk, Herman Peter; Klaassen, Franc - 2004 - Rev.

It is generally believed that for the power of unit root tests, only the time span and not the observation frequency matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and volatility clustering, as is typically the case for...

Persistent link: https://www.econbiz.de/10011342578

Analysis of the Stationarity of East Asian Currencies Using Unit Root Test and Cointegration Test

Wang, Zhiqian - 2013

This paper investigates the stationarity of East Asian currencies by using a unit root test and cointegration test. We examine whether the Asian monetary unit (AMU) deviation indicators adjusted by the Balassa-Samuelson effect are stationary over the short term by carrying out a unit root test...

Persistent link: https://www.econbiz.de/10013077639

Purchasing Power Parity in High Inflation Countries : A Cointegration Analysis of Integrated Variables with Trend Breaks

Zhou, Su - 1998

This paper examines the long-run validity of purchasing power parity (PPP) for four high-inflation countries. The method of Zivot and Andrews (1992) is employed to detect the time-series behavior of the exchange rates and consumer price indices of these countries. We find that these variables...

Persistent link: https://www.econbiz.de/10014071881

Internal Relative Price Stationarity in Long Run Purchasing Power Parity

Boucher Breuer, Janice; Lippert, Alston F. - 2001

This study demonstrates that the joint relationship amongst domestic traded goods prices, domestic non-traded goods prices, foreign traded goods prices, and foreign non-traded goods prices is important to understanding rejections or confirmations of long run PPP. This joint relationship is...

Persistent link: https://www.econbiz.de/10014074429

Structural breaks and relative price convergence among US cities

Hegwood, Natalie D.; Nath, Hiranya K. - In: Journal of macroeconomics 36 (2013), pp. 150-160

Persistent link: https://www.econbiz.de/10009751110

Testing black market vs. official PPP : a pooled mean group estimation approach

Goswami, Gour G.; Hossain, Mohammad Zariab - In: The empirical economics letters : a monthly … 12 (2013) 12, pp. 1291-1300

Persistent link: https://www.econbiz.de/10010363747

Real exchange rate dynamics : evidence from India

Hegwood, Natalie D.; Nath, Hiranya K. - In: Economic analysis and policy : EAP ; journal of the … 44 (2014) 4, pp. 396-404

Persistent link: https://www.econbiz.de/10011483637