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Purchasing Power Parity in High-Inflation Eastern European Countries: Evidence from Fractional and Harris-Inder Cointegration Tests

  • Choudhry, Taufiq
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    Article provided by Elsevier in its journal Journal of Macroeconomics.

    Volume (Year): 21 (1999)
    Issue (Month): 2 (April)
    Pages: 293-308

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    Handle: RePEc:eee:jmacro:v:21:y:1999:i:2:p:293-308
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622617

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    1. 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.
    2. Peter Liu, 1992. "Purchasing power parity in Latin America: A co-integration analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 128(4), pages 662-680, December.
    3. Lee, Dongin & Schmidt, Peter, 1996. "On the power of the KPSS test of stationarity against fractionally-integrated alternatives," Journal of Econometrics, Elsevier, vol. 73(1), pages 285-302, July.
    4. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
    5. 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.
    6. Davutyan, Nurhan & Pippenger, John, 1985. "Purchasing Power Parity Did Not Collapse during the 1970's," American Economic Review, American Economic Association, vol. 75(5), pages 1151-58, December.
    7. G. Geoffrey Booth & Yiuman Tse, 1995. "Long memory in interest rate futures markets: A fractional cointegration analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 15(5), pages 573-584, 08.
    8. Phylaktis, Kate, 1992. "Purchasing power parity and cointegration: The Greek evidence from the 1920s," Journal of International Money and Finance, Elsevier, vol. 11(5), pages 502-513, October.
    9. Lee, Hyung S. & Amsler, Christine, 1997. "Consistency of the KPSS unit root test against fractionally integrated alternative," Economics Letters, Elsevier, vol. 55(2), pages 151-160, August.
    10. 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.
    11. 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 103-12, January.
    12. Frenkel, Jacob A, 1980. "Exchange Rates, Prices, and Money: Lessons from the 1920's," American Economic Review, American Economic Association, vol. 70(2), pages 235-42, May.
    13. Jacob A. Frenkel, 1980. "Exchange Rates, Prices and Money: Lessons from the 1920s," NBER Working Papers 0452, National Bureau of Economic Research, Inc.
    14. McNown, Robert & S. Wallace, Myles, 1989. "National price levels, purchasing power parity, and cointegration: a test of four high inflation economies," Journal of International Money and Finance, Elsevier, vol. 8(4), pages 533-545, December.
    15. P. S. Sephton, 2002. "Fractional cointegration: Monte Carlo estimates of critical values, with an application," Applied Financial Economics, Taylor & Francis Journals, vol. 12(5), pages 331-335.
    16. W. L. Chou & Y. C. Shih, 1997. "Long-run purchasing power parity and long-term memory: evidence from Asian newly industrialized countries," Applied Economics Letters, Taylor & Francis Journals, vol. 4(9), pages 575-578.
    17. Michael J. Dueker, 1993. "Hypothesis testing with near-unit roots: the case of long-run purchasing-power parity," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 37-48.
    18. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    19. Choudhry, Taufiq & McNown, Robert & Wallace, Myles, 1991. "Purchasing Power Parity and the Canadian Float in the 1950s," The Review of Economics and Statistics, MIT Press, vol. 73(3), pages 558-63, August.
    20. Hali J. Edison & Joseph E. Gagnon & William R. Melick, 1994. "Understanding the empirical literature on purchasing power parity: the post-Bretton Woods era," International Finance Discussion Papers 465, Board of Governors of the Federal Reserve System (U.S.).
    21. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
    22. Frenkel, Jacob A., 1978. "Purchasing power parity : Doctrinal perspective and evidence from the 1920s," Journal of International Economics, Elsevier, vol. 8(2), pages 169-191, May.
    23. Mahdavi, Saeid & Zhou, Su, 1994. "Purchasing power parity in high-inflation countries: further evidence," Journal of Macroeconomics, Elsevier, vol. 16(3), pages 403-422.
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