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Some Structural Hypotheses in a Multivariate Cointegration Analysis of the Purchasing Power Parity and the Uncovered Interest Parity for UK

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  • Søren Johansen

    (Institute of Mathematical Statistics, University of Copenhagen)

  • Katarina Juselius

    (Institute of Economics, University of Copenhagen)

Abstract

This paper develops some new tests for structural hypotheses in the framework of a multivariate error correction model with Gausian errors. The tests are constructed by an analysis of the likelihood function and motivated by an empirical investigation of the PPP relation and the UIP relation for the United Kingdom. Three types of tests are discussed. First, the authors' consider the same linear restrictions on all cointegration relations, then they consider the hypothesis that certain relations are assumed to be cointegrating, and finally they formulate a general hypothesis that contains the previous ones. This hypothesis can be expressed by the conditions that some of the cointegrating relations are subject to given linear restrictions, while others are unconstrained.

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Bibliographic Info

Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 90-05.

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Length: 31 pages
Date of creation: Mar 1990
Date of revision:
Publication status: Published as: "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for the UK", in: Journal of Econometrics, 53(1-3) 1992, pp. 211-244
Handle: RePEc:kud:kuiedp:9005

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Keywords: multivariate analysis; PPP; exchange rates and markets; UK;

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Cited by:
  1. Dr Ferda Halicioglou, 2004. "The Gibson Paradox: An Empirical Investigation for Turkey," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 111-120.
  2. Ibrahim Halil Eksi & Mehmet Senturk & H. Semih Yildirim, 2012. "Sensitivity of Stock Market Indices to Oil Prices: Evidence from Manufacturing Sub-Sectors in Turkey," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 59(4), pages 463-474, September.
  3. Eleanor Doyle, 1998. "Export-output causality: The Irish case 1953–93," Atlantic Economic Journal, International Atlantic Economic Society, vol. 26(2), pages 147-161, June.

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