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Panel data tests of PPP: A critical overview

Caporale, Guglielmo Maria; Cerrato, Mario - 2004

This paper reviews panel unit root and cointegration tests in the context of PPP. It highlights various drawbacks of existing methods. First, unit root tests suffer from severe size distortions in the presence of negative moving average errors. Second, the common demeaning procedure to correct...

Persistent link: https://www.econbiz.de/10010293710

Panel data tests of PPP : a critical overview

Caporale, Guglielmo Maria - 2004

Persistent link: https://www.econbiz.de/10002139613

Does purchasing power parity hold in emerging markets? : Ecidence from a panel of black market exchange rates

Cerrato, Mario - In: International journal of finance & economics : IJFE 12 (2007) 4, pp. 427-444

Persistent link: https://www.econbiz.de/10015180240

Panel data tests of PPP : a critical overview

Caporale, Guglielmo Maria; Cerrato, Mario - 2004

This paper reviews panel unit root and cointegration tests in the context of PPP. It highlights various drawbacks of existing methods. First, unit root tests suffer from severe size distortions in the presence of negative moving average errors. Second, the common demeaning procedure to correct...

Persistent link: https://www.econbiz.de/10009728980

Symmetry, proportionality and the purchasing power parity : evidence from panel cointegration tests

Cerrato, Mario; Sarantis, Nicholas - In: International review of economics & finance : IREF 17 (2008) 1, pp. 56-65

Persistent link: https://www.econbiz.de/10003749785

Panel data tests of PPP : a critical overview

Caporale, Guglielmo Maria; Cerrato, Mario - In: Applied financial economics 16 (2006) 1/2, pp. 73-91

Persistent link: https://www.econbiz.de/10003291805

A real differential view of equilibrium real exchange rates and misalignments

Hoffmann, Mathias; MacDonald, Ronald - 2000

Persistent link: https://www.econbiz.de/10001596267

Technical analysis in the foreign exchange market : a cointegration-based approach

Fiess, Norbert M.; MacDonald, Ronald - In: Multinational finance journal : MF ; quarterly … 3 (1999) 3, pp. 147-172

Persistent link: https://www.econbiz.de/10001566860

A real differential view of equilibrium real exchange rates

Hoffmann, Mathias; MacDonald, Ronald - 2001

Persistent link: https://www.econbiz.de/10001554377

The instability of the money demand function : an I (2) interpretation

Fiess, Norbert M.; MacDonald, Ronald - In: Oxford bulletin of economics and statistics 63 (2001) 4, pp. 475-495

Persistent link: https://www.econbiz.de/10001622986

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