Inflation, exchange rates and PPP in a multivariate panel cointegration model
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Publication:3499429
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Cites work
- A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
- Estimating the dimension of a model
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Likelihood-based cointegration tests in heterogeneous panels
- PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
- Statistical analysis of cointegration vectors
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
Cited in
(6)- International linkage of inflation rates in a dynamic general equilibrium
- Testing PPP hypotheses between Japan and the six G7 countries
- The factor analytical approach in near unit root interactive effects panels
- Validity of the purchasing power parity in the V4 countries
- Exchange rate misalignment and economic growth: evidence from nonlinear panel cointegration and Granger causality tests
- Inter-temporal purchasing power parity
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