Potential pitfalls for the purchasing-power-parity puzzle? Sampling and specification biases in mean-reversion tests of the law of one price

Econometrica

Volumn 69, Issue 2, 2001, Pages 473-498

  Taylor, Alan M ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Half life; Law of one price; Mean reversion; Purchasing power parity; Temporal aggregation; Threshold auto regression

Indexed keywords

EID: 0001436323     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0262.00199     Document Type: Article

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