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Nearly redundant parameters and measures of persistence in economic time series

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  • Clark, Peter K.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 12 (1988)
Issue (Month): 2-3 ()
Pages: 447-461

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Handle: RePEc:eee:dyncon:v:12:y:1988:i:2-3:p:447-461

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Web page: http://www.elsevier.com/locate/jedc

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Cited by:
  1. Quah, Danny, 1992. "The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds," Econometrica, Econometric Society, vol. 60(1), pages 107-18, January.
  2. Fischer, Christoph & Porath, Daniel, 2006. "A reappraisal of the evidence on PPP: a systematic investigation into MA roots in panel unit root tests and their implications," Discussion Paper Series 1: Economic Studies 2006,23, Deutsche Bundesbank, Research Centre.
  3. Engel, Charles, 2000. "Long-run PPP may not hold after all," Journal of International Economics, Elsevier, vol. 51(2), pages 243-273, August.
  4. Serena Ng & Pierre Perron, 2001. "PPP May not Hold After all: A Further Investigation," Economics Working Paper Archive 466, The Johns Hopkins University,Department of Economics.
  5. Christoph Fischer, 2006. "PPP: a disaggregated view," Applied Financial Economics, Taylor & Francis Journals, vol. 16(1-2), pages 93-108.
  6. Kleijn, R.H. & van Dijk, H.K., 2001. "A Bayesian analysis of the PPP puzzle using an unobserved components model," Econometric Institute Research Papers EI 2001-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  7. Stephen R. Blough, 1994. "Near common factors and confidence regions for present value models," Working Papers 94-3, Federal Reserve Bank of Boston.
  8. Bennett T. McCallum, 1993. "Unit roots in macroeconomic time series: some critical issues," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 13-44.

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