Inflation, exchange rates and PPP in a multivariate panel cointegration model
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Publication:3499429
DOI10.1111/J.1368-423X.2008.00231.XzbMATH Open1135.91388MaRDI QIDQ3499429FDOQ3499429
Authors: Tor Jacobson, Rolf Larsson, Marianne Nessén, Johan Lyhagen 
Publication date: 29 May 2008
Published in: Econometrics Journal (Search for Journal in Brave)
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- PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
- New panel unit root tests of PPP
- Some second generation panel unit root tests for investigating the validity of purchasing power parity
- Pairwise Tests of Purchasing Power Parity
Cites Work
- Estimating the dimension of a model
- Statistical analysis of cointegration vectors
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
- 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
Cited In (6)
- International linkage of inflation rates in a dynamic general equilibrium
- Testing PPP hypotheses between Japan and the six G7 countries
- Validity of the purchasing power parity in the V4 countries
- The factor analytical approach in near unit root interactive effects panels
- Exchange rate misalignment and economic growth: evidence from nonlinear panel cointegration and Granger causality tests
- Inter-temporal purchasing power parity
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