A fractional cointegration test of purchasing power parity: the case of selected members of OPEC
AbstractIn recent years, analysts have used cointegration tests in determining whether the residuals of the purchasing power parity (PPP) model are mean-reverting. Cointegration methods, however, rest on the binary selection of the series as either stationary or integrated of degree one. This approach excludes a class of long-memory stochastic processes with a fractional differencing parameter which also have mean-reverting characteristics. Fractional cointegration method tests the mean-reverting property of a series which is based on this class of stochastic processes. This paper uses cointegration and fractional cointegration methods in determining the mean-reverting properties of the parallel market exchange rates for several members of the Organization of Petroleum Producing Countries. The Geweke and Porter-Hudak (GPH) test results suggest that the PPP models for Algeria, Ecuador, Saudi Arabia and Venezuela are fractionally cointegrated. Moreover, according to the Augmented Dickey-Fuller (ADF) test, the PPP models for all countries under study, appear not to have a cointegrating vector.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 8 (1998)
Issue (Month): 6 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAFE20
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002.
"Residual Log-Periodogram Inference for Long-Run-Relationships,"
Darmstadt Discussion Papers in Economics
37317, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL).
- Hassler, U. & Marmol, F. & Velasco, C., 2006. "Residual log-periodogram inference for long-run relationships," Journal of Econometrics, Elsevier, vol. 130(1), pages 165-207, January.
- Guneratne Banda Wickremasinghe, 2004. "The Sri Lankan Rupee and Purchasing Power Parity during the Current Floating Period," International Trade 0406005, EconWPA.
- Guneratne Banda Wickremasinghe, 2004.
"Purchasing Power Parity Hypothesis in Developing Economies:Some Empirical Evidence from Sri Lanka,"
- Guneratne B Wickremasinghe, 2004. "Purchasing Power Parity Hypothesis in Developing Economies: Some Empirical Evidence from Sri Lanka," Econometric Society 2004 Australasian Meetings 236, Econometric Society.
- Adnan Kasman & Saadet Kirbas-Kasman & Evrim Turgutlu, 2005. "Nominal and real convergence between the CEE countries and the EU: a fractional cointegration analysis," Applied Economics, Taylor & Francis Journals, vol. 37(21), pages 2487-2500.
- Saadet Kirbas Kasman & Adnan Kasman & Evrim Turgutlu, 2005. "Fisher Hypothesis Revisited: A Fractional Cointegration Analysis," Discussion Paper Series 05/04, Dokuz Eylül University, Faculty of Business, Department of Economics, revised 23 Nov 2005.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.