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A test of purchasing power parity based on the largest principal component of real exchange rates of the main OECD economies

  • Snell, Andy

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File URL: http://www.sciencedirect.com/science/article/B6V84-3VW1TR1-12/2/2c5b69aea81b62cce02458249c617518
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 51 (1996)
Issue (Month): 2 (May)
Pages: 225-231

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Handle: RePEc:eee:ecolet:v:51:y:1996:i:2:p:225-231
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Enders, Walter, 1988. "ARIMA and Cointegration Tests of PPP under Fixed and Flexible Exchange Rate Regimes," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 504-08, August.
  2. Hali J. Edison & Jan Tore Klovland, 1983. "A quantitative reassessment of the purchasing power parity hypothesis : evidence from Norway and the United Kingdom," International Finance Discussion Papers 231, Board of Governors of the Federal Reserve System (U.S.).
  3. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  4. Abuaf, Niso & Jorion, Philippe, 1990. " Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 45(1), pages 157-74, March.
  5. Ardeni, Pier Giorgio & Lubian, Diego, 1991. "Is there trend reversion in purchasing power parity?," European Economic Review, Elsevier, vol. 35(5), pages 1035-1055, July.
  6. Corbae, Dean & Ouliaris, Sam, 1988. "Cointegration and Tests of Purchasing Power Parity," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 508-11, August.
  7. Jeffrey A. Frankel, 1985. "The Dazzling Dollar," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 16(1), pages 199-217.
  8. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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