Long-run purchasing power parity and long-term memory: Evidence from Asian newly industrialized countries

Applied Economics Letters

Volumn 4, Issue 9, 1997, Pages 575-578

  Chou, W L ^a   Shih, Y C ^a  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

[No Author keywords available]

Indexed keywords

COINTEGRATION TESTS; PURCHASING POWER PARITY HYPOTHESIS;

ASIA, (EAST);

EID: 0031411269     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/135048597355069     Document Type: Article

References (20)

1. Baillie, R.T. and Bollerslev, T. (1994) Cointegration, fractional cointegration, and exchange rate dynamics, Journal of Finance, 49, 737-45.
2. Blangiewicz, M. and Charemza, W.W. (1990) Cointegration in small samples: empirical percentiles, drifting moments and customized testing, Oxford Bulletin of Economics and Statistics, 52, 303-15
3. Cheung Y.W. (1993) Tests for fractional integration: a Monte Carlo investigation, Journal of Time Series Analysis, 14, 331-45.
4. Cheung, Y.W. and Lai, K. S. (1992) International evidence on output persistence from postwar data, Economics Letters, 38, 435-61.
5. Cheung, Y.W. and Lai, K.S. (1993) A fractional cointegration analysis, of purchasing power parity, Journal of Business and Economic Statistics, 11, 103-12.
6. Chou, W.L. and Shih, Y.C. (1995) Long-run real exchange rates in the four little dragons: an analysis of purchasing power parity, Journal of International Trade and Economic Development, 4, 54-71.
7. Diebold, F.X., Husted, S. and Rush, M. (1991) Real exchange rates under the gold standard, Journal of Political Economy, 99, 1252-71.
8. Diebold, F.X. and Rudebusch, G.D. (1989) Long memory and persistence in aggregate output, Journal of Monetary Economics, 24. 189-209.
9. Engle, R.F. and Granger, C.W.J. (1987) Cointegration and error correction: representation, estimation, and testing, Econometrica, 55, 251-76.
10. Geweke, J., and Porter-Hudak, S. (1983) The estimation and application of long memory time series models, Journal of Time Series Analysis, 4, 221-38.
11. Granger, C.W.J. and Joyeux, R. (1980) An introduction to long-memory time series models and fractional differencing, Journal of Time Series Analysis, 1, 15-39.
12. Hansen, B.E. (1992) Efficient estimation and testing of cointegration vectors in the presence of deterministic trends, Journal of Econometrics, 53, 87-121.
13. Hassler, U. (1993a) Regression of spectral estimators with fractionally integrated time series, Journal of Time Series Analysis, 14, 369-80.
14. Hassler, U. (1993b) Unit root tests: the autoregressive approach in comparison with the periodogram regression, Statistical Papers, 34, 67-82.
15. Hassler, U. and Wolters (1995) Long memory in inflation rates: international evidence, Journal of Business and Economic Statistics, 13, 37-45.
16. Johansen, S. (1988) Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, 10, 231-54.
17. Johansen, S. (1992) Determination of cointegration rank in the presence of a linear trend, Oxford Bulletin of Economics and Statistics, 52, 383-97.
18. Johansen, S. and Juselius, K. (1990) Maximum likelihood estimation and inference on cointegration-with applications to the demand for money, Oxford Bulletin of Economics and Statistics, 52, 383-97.
19. Kashyap, R.L., and Eom, K.B. (1988) Estimation in long-memory time series model, Journal of Time Series Analysis, 9, 35-41.
20. Kim, Yoonbai, (1990) Purchasing power parity in the long run: a cointegration approach, Journal of Money, Credit, and Banking, 22, 491-503.