Inflation, exchange rates and PPP in a multivariate panel cointegration model

DOI10.1111/j.1368-423X.2008.00231.xzbMath1135.91388MaRDI QIDQ3499429

Marianne Nessén, Rolf Larsson, Tor Jacobson, Johan Lyhagen

Publication date: 29 May 2008

Published in: The Econometrics Journal (Search for Journal in Brave)

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Trade models (91B60)

Related Items (1)

The factor analytical approach in near unit root interactive effects panels

Cites Work

• Statistical analysis of cointegration vectors
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• Estimating the dimension of a model
• Likelihood‐based cointegration tests in heterogeneous panels
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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