A test of purchasing power parity based on the largest principal component of real exchange rates of the main OECD economies

DOI10.1016/0165-1765(95)00802-0zbMath0875.90188OpenAlexW2089622956MaRDI QIDQ1350589

Andy Snell

Publication date: 27 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(95)00802-0

zbMATH Keywords

Principal componentsPurchasing power parityExchange ratesUnity root tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Cites Work

• Statistical analysis of cointegration vectors
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for Common Trends
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

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