Short-memory and the PPP hypothesis

DOI10.1016/j.jedc.2005.01.001zbMath1198.91175OpenAlexW2094322355MaRDI QIDQ956508

Deockhyun Ryu, Mahmoud A. El-Gamal

Publication date: 25 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2005.01.001

zbMATH Keywords

SMMcross-validationMarkov modelshalf-life\(\varphi\)-mixingnonparametric time series analysispersistence measuresPPP-puzzleSMD

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Economic time series analysis (91B84)

Related Items (1)

A Saddlepoint Approximation to the Distribution of the Half-Life Estimator in a Stationary Autoregressive Model

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