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Bounds tests of the theory of purchasing power parity

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  • Coe, Patrick J.
  • Serletis, Apostolos

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  • Coe, Patrick J. & Serletis, Apostolos, 2002. "Bounds tests of the theory of purchasing power parity," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 179-199, January.
  • Handle: RePEc:eee:jbfina:v:26:y:2002:i:1:p:179-199
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    11. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    12. Lothian, James R & Taylor, Mark P, 1996. "Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 488-509, June.
    13. 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 1057-1072, June.
    14. Frenkel, Jacob A, 1980. "Exchange Rates, Prices, and Money: Lessons from the 1920's," American Economic Review, American Economic Association, vol. 70(2), pages 235-242, May.
    15. Jacob A. Frenkel, 1980. "Exchange Rates, Prices and Money: Lessons from the 1920s," NBER Working Papers 0452, National Bureau of Economic Research, Inc.
    16. Fisher, Mark E & Seater, John J, 1993. "Long-Run Neutrality and Superneutrality in an ARIMA Framework," American Economic Review, American Economic Association, vol. 83(3), pages 402-415, June.
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    19. Perron, Pierre & Rodriguez, Gabriel, 2003. "GLS detrending, efficient unit root tests and structural change," Journal of Econometrics, Elsevier, vol. 115(1), pages 1-27, July.
    20. Koedijk, Kees G. & Schotman, Peter C. & Van Dijk, Mathijs A., 1998. "The re-emergence of PPP in the 1990s," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 51-61, February.
    21. Abuaf, Niso & Jorion, Philippe, 1990. " Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 45(1), pages 157-174, March.
    22. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    23. Jorion, Philippe & Sweeney, Richard J., 1996. "Mean reversion in real exchange rates: evidence and implications for forecasting," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 535-550, August.
    24. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    25. Ng, Serena & Perron, Pierre, 1997. "Estimation and inference in nearly unbalanced nearly cointegrated systems," Journal of Econometrics, Elsevier, vol. 79(1), pages 53-81, July.
    26. Cheung, Yin-Wong & Lai, Kon S, 1993. "A Fractional Cointegration Analysis of Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 103-112, January.
    27. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    28. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    29. Taylor, Mark P. & McMahon, Patrick C., 1988. "Long-run purchasing power parity in the 1920s," European Economic Review, Elsevier, vol. 32(1), pages 179-197, January.
    30. Perron, Pierre & Vogelsang, Timothy J, 1992. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 301-320, July.
    31. Culver, Sarah E. & Papell, David H., 1999. "Long-run purchasing power parity with short-run data: evidence with a null hypothesis of stationarity," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 751-768, October.
    32. Alston Flynn, N. & Boucher, Janice L., 1993. "Tests of long-run Purchasing Power Parity using alternative methodologies," Journal of Macroeconomics, Elsevier, vol. 15(1), pages 109-122.
    33. Boyd, Derick & Smith, Ron, 1999. "Testing for Purchasing Power Parity: Econometric Issues and an Application to Developing Countries," Manchester School, University of Manchester, vol. 67(3), pages 287-303, June.
    34. Michael J. Dueker & Apostolos Serletis, 2000. "Do real exchange rates have autoregressive unit roots? a test under the alternative of long memory and breaks," Working Papers 2000-016, Federal Reserve Bank of St. Louis.
    35. Shin, Yongcheol, 1994. "A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration," Econometric Theory, Cambridge University Press, vol. 10(01), pages 91-115, March.
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    Cited by:

    1. repec:ebl:ecbull:v:6:y:2007:i:31:p:1-9 is not listed on IDEAS
    2. Apostolos Serletis & Ricardo Rangel-Ruiz, 2007. "Testing for Common Features in North American Energy Markets," World Scientific Book Chapters,in: Quantitative And Empirical Analysis Of Energy Markets, chapter 14, pages 172-187 World Scientific Publishing Co. Pte. Ltd..
    3. Serletis, Apostolos & Gogas, Periklis, 2004. "Long-horizon regression tests of the theory of purchasing power parity," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1961-1985, August.
    4. Angelos Kanas, 2009. "Real exchange rate, stationarity, and economic fundamentals," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(4), pages 393-409, October.
    5. Sarno, Lucio & Valente, Giorgio, 2006. "Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how?," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3147-3169, November.
    6. Mohsen Bahmani-Oskooee & Ali Kutan & Su Zhou, 2009. "Towards solving the PPP puzzle: evidence from 113 countries," Applied Economics, Taylor & Francis Journals, vol. 41(24), pages 3057-3066.
    7. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
    8. Mohsen Bahmani-Oskooee & Su Zhou & Ali Kutan, 2007. "A Century of Purchasing Power Parity: Further Evidence," Economics Bulletin, AccessEcon, vol. 6(31), pages 1-9.
    9. Tang, Tuck Cheong, 2003. "Japanese aggregate import demand function: reassessment from the 'bounds' testing approach," Japan and the World Economy, Elsevier, vol. 15(4), pages 419-436, December.
    10. repec:eee:reveco:v:49:y:2017:i:c:p:211-222 is not listed on IDEAS
    11. Narayan Paresh K & Prasad Biman Chand, 2005. "The Validity of Purchasing Power Parity Hypothesis for Eleven Middle Eastern Countries," Review of Middle East Economics and Finance, De Gruyter, vol. 3(2), pages 44-58, August.
    12. Tuck Cheong Tang, 2003. "Cointegration analysis for Japanese import demand: revisited," Applied Economics Letters, Taylor & Francis Journals, vol. 10(14), pages 905-908.

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