Further evidence on the PPP analysis of the Australian dollar: non-linearities, fractional integration and structural changes
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- Cuestas, Juan C. & Gil-Alana, Luís A., 2009. "Further evidence on the PPP analysis of the Australian dollar: Non-linearities, fractional integration and structural changes," Economic Modelling, Elsevier, vol. 26(6), pages 1184-1192, November.
- Luis A. Gil-Alana & Juan C. Cuesta, 2009. "Further evidence on the PPP analysis of the Australian dollar. Non-linearities, fractional integration and structural change," Faculty Working Papers 07/09, School of Economics and Business Administration, University of Navarra.
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Cited by:
- Cuestas, Juan Carlos & Regis, Paulo José, 2013.
"Purchasing power parity in OECD countries: Nonlinear unit root tests revisited,"
Economic Modelling,
Elsevier, vol. 32(C), pages 343-346.
- Juan Carlos Cuestas & Paulo José Regis, 2010. "Purchasing power parity in OECD countries: nonlinear unit root tests revisited," Working Papers 2010/3, Nottingham Trent University, Nottingham Business School, Economics Division.
- Luis A. Gil-Alana & Jiang Liang, 2011. "The PPP hypothesis in the US/China relationship. Fractional integration, time variation and data frequency," Faculty Working Papers 13/11, School of Economics and Business Administration, University of Navarra.
- Daniel Agyapong & Anokye M. Adam, 2012. "Exchange Rate Behaviour: Implication for West African Monetary Zone," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 2(4), pages 215-228, October.
- Dilem Yıldırım, 2016. "Empirical Investigation of Purchasing Power Parity for Turkey: Evidence from Recent Nonlinear Unit Root Tests," ERC Working Papers 1604, ERC - Economic Research Center, Middle East Technical University, revised Apr 2016.
More about this item
Keywords
PPP; Real Exchange Rate; Unit Roots; Non-linearities; Fractional integration;JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- F15 - International Economics - - Trade - - - Economic Integration
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2009-03-07 (All new papers)
- NEP-CBA-2009-03-07 (Central Banking)
- NEP-IFN-2009-03-07 (International Finance)
- NEP-OPM-2009-03-07 (Open Economy Macroeconomics)
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