Short-memory and the PPP hypothesis

DOI10.1016/J.JEDC.2005.01.001MaRDI QIDQ956508zbMATH OpenOpenAlexFDO

Authors Mahmoud A. El-Gamal, Deockhyun Ryu

Publication date 25 November 2008

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2005.01.001

zbMATH Keywords

SMMMarkov modelscross-validationhalf-life\(\varphi\)-mixingnonparametric time series analysispersistence measuresPPP-puzzleSMD

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Economic time series analysis (91B84)

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• Nonlinear PPP deviations: a Monte Carlo investigation of their unconditional half-life
• Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity
• LONG MEMORY AND PERSISTENCE IN DOLLAR-BASED REAL EXCHANGE RATES
• Testing for PPP: the erratic behaviour of unit root tests
• New panel unit root tests of PPP

Cites work

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• Nonlinear impulse response functions
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• On bandwidth choice for density estimation with dependent data
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Cited in

(8)

• Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity
• LONG MEMORY AND PERSISTENCE IN DOLLAR-BASED REAL EXCHANGE RATES
• A saddlepoint approximation to the distribution of the half-life estimator in a stationary autoregressive model
• Generalized local-to-unity models
• Nonlinear PPP deviations: a Monte Carlo investigation of their unconditional half-life
• Purchasing Power Parity Analyzed from a Continuous-Time Model
• Real exchange rate forecasting and PPP: this time the random walk loses
• Half-lives of currencies and aggregation bias

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