Baghli, Mustapha - In: Studies in Nonlinear Dynamics & Econometrics 9 (2005) 1, pp. 1085-1085
This paper is devoted to the empirical analysis of the dynamic behaviour of the FF/DM parity during the September 1987-July 1993 period. By explicitly allowing the strength of adjustment to vary with the extent of equilibrium error, we successively perform parametric, semiparametric and...
