Cointegration and the PPP and the UIP hypotheses: An application to the Spanish integration in the EC

DOI10.1007/BF01886129zbMath0848.90026OpenAlexW1987494237MaRDI QIDQ1915774

Mariam Camarero, Cecilio Tamarit

Publication date: 1 July 1996

Published in: Open Economies Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01886129

zbMATH Keywords

purchasing power parityuncovered interest parityexchange rate mechanism

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items

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

Cites Work

• Statistical analysis of cointegration vectors
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• 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
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing