Re-examining the evidence for long-run purchasing power parity

Economic Record

Volumn 74, Issue 224, 1998, Pages 54-61

  Olekalns, Nilss ^a   Wilkins, Nigel ^a,b  

^a UNIVERSITY OF MELBOURNE   (Australia)

^b MONASH UNIVERSITY   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

NATIONAL TRADE; PURCHASING POWER PARITY; REAL EXCHANGE RATE;

EID: 0031824093     PISSN: 00130249     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1475-4932.1998.tb01903.x     Document Type: Article

References (16)

1. Adler, M. and Lehmann, B. (1983), 'Deviations from PPP in the Long Run', Journal of Finance 3, 1471-87.
2. Andrews, D. (1991), 'Heteroskedasticity and Autocor-relation Consistent Covariance Matrix Estimation', Econometrica 59, 817-58.
3. Ardeni, P. and Lubian, D. (1991), 'Is There Trend Reversion in PPP?', European Economic Review 35, 1035-55.
4. Baille, R.T. (1996), 'Long Memory Processes and Fractional Integration in Econometrics', Journal of Econometrics 73, 5-59.
5. Bleaney, M.F. (1993), 'The Australian Real Exchange Rate, Terms of Trade and Primary Commodity Prices 1901-91', CREDIT Discussion Paper no. 93/6, University of Nottingham.
6. _ and Mizen, P. (1995), 'Empirical Tests of Mean Reversion in Real Exchange Rates: A Survey', Bulletin of Economic Research 47,3, 171-95.
7. Campbell and Perron (1991), 'Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots', in O. Blanchard and S. Fischer (eds), NBER Macroeconomics Annual, MIT Press, Cambridge.
8. Cheung, Y. and Diebold, F. (1994), 'On Maximum Likelihood Estimation of the Differencing Parameter of Fractionally Integrated Noise with Unknown Mean', Journal of Econometrics 62, 301-16.
9. Cheung, Y. and Lai, K. (1993), 'A Fractional Cointegration Analysis of Purchasing Power Parity', Journal of Business and Economic Statistics 11(1), 103-12.
10. Cochrane, J. (1988), 'How Big is the Random Walk in GNP?', Journal of Political Economy 96(5), 893-920.
11. Phillips, P. (1987), 'Time Series Regression with a Unit Root', Econometrica 55, 277-301.
12. Robinson, P. (1993), 'Log Periodogram Regression of Time Series with Long Range Dependence', mimeo.
13. Rogoff, K. (1996), 'The Purchasing Power Parity Puzzle', Journal of Economic Literature, XXXIV(2), 647-68.
14. Silvapulle, P. (1993), 'Some Robust Properties of Unit Root Tests', Discussion Paper 8/93, LaTrobe University.
15. Sowell, F. (1992), 'Maximum Likelihood Estimation of Stationary Univariate Fractionally Integrated Time Series Models', Journal of Econometrics 53, 165-88.
16. Wilkins, N.P. (1997), 'Parametric and Nonparametric Augmented GPH Estimation', Working Paper No. 551, University of Melbourne.