Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time- series model
From MaRDI portal
Publication:1899246
DOI10.1016/0304-4076(94)01669-QzbMath0825.62961OpenAlexW2005903054MaRDI QIDQ1899246
Publication date: 14 November 1995
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(94)01669-q
Related Items (13)
Identifying restrictions of linear equations with applications to simultaneous equations and cointegration ⋮ Cointegration and the PPP and the UIP hypotheses: An application to the Spanish integration in the EC ⋮ Purchasing power parity between the UK and Germany: the euro era ⋮ Cointegrated dynamics for a generalized long memory process: application to interest rates ⋮ Cointegrating Regressions with Time Heterogeneity ⋮ Price discovery in the Texas cash cattle market ⋮ Testing the long-run structural validity of the monetary exchange rate model ⋮ Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate ⋮ An I(2) cointegration analysis of small‐country import price determination ⋮ On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank ⋮ Testing misspecified cointegrating relationships ⋮ The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests ⋮ A residual-based ADF test for stationary cointegration in I(2) settings
Uses Software
Cites Work
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- Identification of the long-run and the short-run structure. An application to the ISLM model
- Spatio-temporal self-organization in a model of disease spreading
- Near-integration and deterministic trends
- Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
- Cointegration and the PPP and the UIP hypotheses: An application to the Spanish integration in the EC
- A Stastistical Analysis of Cointegration for I(2) Variables
- The role of the drift in I(2) systems
- The Econometric Analysis of Economic Time Series
- The Probability Approach in Econometrics
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Unnamed Item
This page was built for publication: Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time- series model
