Testing long-run PPP with infinite-variance returns
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DOI: 10.1002/jae.711
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- Falk, Barry L. & Wang, Chun-Hsuan, 2003. "Testing Long-Run Ppp with Infinite-Variance Returns," Staff General Research Papers Archive 10323, Iowa State University, Department of Economics.
References listed on IDEAS
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Citations
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Cited by:
- Jungjun Choi & In Choi, 2016. "Maximum Likelihood Estimation of Autoregressive Models with a Near Unit Root and Cauchy Errors," Working Papers 1612, Research Institute for Market Economy, Sogang University.
- Serttas, Fatma Ozgu, 2010. "Essays on infinite-variance stable errors and robust estimation procedures," ISU General Staff Papers 201001010800002742, Iowa State University, Department of Economics.
- Pierre Perron & Eduardo Zorita & Iliyan Georgiev & Paulo M. M. Rodrigues & A. M. Robert Taylor, 2017.
"Unit Root Tests and Heavy-Tailed Innovations,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 38(5), pages 733-768, September.
- Georgiev, I & Rodrigues, PMM & Taylor, AMR, 2017. "Unit Root Tests and Heavy-Tailed Innovations," Essex Finance Centre Working Papers 18832, University of Essex, Essex Business School.
- repec:eee:reveco:v:49:y:2017:i:c:p:211-222 is not listed on IDEAS
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