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Multivariate unit root tests of the PPP hypothesis

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Author Info
Flores, Renato
Jorion, Philippe
Preumont, Pierre-Yves
Szafarz, Ariane

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File URL: http://www.sciencedirect.com/science/article/B6VFG-3Y9TRBV-1/2/036b4448c737bbbd407c0a5f96400ae9
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Publisher Info
Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 6 (1999)
Issue (Month): 4 (October)
Pages: 335-353
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Handle: RePEc:eee:empfin:v:6:y:1999:i:4:p:335-353

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

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  1. Koedijk, C.G. & Tims, B. & Dijk, M.A. van, 2004. "Purchasing Power Parity and the Euro Area," Research Paper ERS-2004-025-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  2. Breitung, J. & Pesaran, M.H., 2005. "Unit Roots and Cointegration in Panels," Cambridge Working Papers in Economics 0535, Faculty of Economics, University of Cambridge. [Downloadable!]
    Other versions:
  3. Alfredo García-Hiernaux & José Casals & Miguel Jerez, 2007. "Detección de raíces unitarias y cointegración mediante métodos de subespacios," Revista Colombiana de Estadística, REVISTA COLOMBIANA DE ESTADISTICA. [Downloadable!]
  4. Tsung-Wu Ho, 2002. "Searching Stationarity in the Real Exchange Rates: Application of the SUR Estimator," Open Economies Review, Springer, vol. 13(3), pages 275-289, July. [Downloadable!] (restricted)
  5. Chi-Young Choi & Nelson Mark & Donggyu Sul, 2004. "Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data," NBER Working Papers 10614, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  6. Yihui Lan, 2001. "The Explosion of Purchasing Power Parity," Economics Discussion / Working Papers 01-22, The University of Western Australia, Department of Economics. [Downloadable!]
  7. Gengenbach,Christian & Palm,Franz & Urbain,Jean-Pierre, 2004. "Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling," Research Memoranda 040, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
  8. Fabio Busetti & Silvia Fabiani & Andrew Harvey, 2006. "Convergences of prices and rates of inflation," Temi di discussione (Economic working papers) 575, Bank of Italy, Economic Research Department. [Downloadable!]
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  9. Menkhoff, Lukas & Rebitzky, Rafael, 2007. "Investor sentiment in the US-dollar: longer-term, nonlinear orientation on PPP," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-376, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
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  10. Richard G. Anderson & Hailong Qian & Robert H. Rasche, 2006. "Analysis of panel vector error correction models using maximum likelihood, the bootstrap, and canonical-correlation estimators," Working Papers 2006-050, Federal Reserve Bank of St. Louis. [Downloadable!]
  11. Jörg Breitung & Bertrand Candelon, 2005. "Purchasing Power Parity during Currency Crises: A Panel Unit Root Test under Structural Breaks," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 141(1), pages 124-140, April. [Downloadable!] (restricted)
  12. Yihui Lan, 2001. "The Long-Run Value of Currencies: A Big Mac Perspective," Economics Discussion / Working Papers 01-17, The University of Western Australia, Department of Economics. [Downloadable!]
  13. Tsung-wu Ho, 2009. "The inflation rates may accelerate after all: panel evidence from 19 OECD economies," Empirical Economics, Springer, vol. 36(1), pages 55-64, February. [Downloadable!] (restricted)
  14. Fabio Busetti & Lorenzo Forni & Andrew Harvey & Fabrizio Venditti, 2006. "Inflation convergence and divergence within the European Monetary Union," Working Paper Series 574, European Central Bank. [Downloadable!]
    Other versions:
  15. Haluk Erlat, . "Persistence in Turkish Real Exchange Rates: Panel Approaches," FIW Working Paper series 029, FIW. [Downloadable!]
  16. Yihui Lan, 2003. "The Long-Term Behaviour of Exchange Rates, Part V: The Stationarity of Exchange Rates," Economics Discussion / Working Papers 03-09, The University of Western Australia, Department of Economics. [Downloadable!]
  17. Camarero, Mariam, & Flôres, R. & C. Tamarit, 2002. "Time series evidence of international output convergence in Mercosur," Computing in Economics and Finance 2002 87, Society for Computational Economics. [Downloadable!]
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