Publisher Summary This chapter presents an overview of the long-run determinants of
purchasing power parity (PPP). It reviews the huge time series literature testing simple PPP …

Abstract In recent years Singular Spectrum Analysis (SSA), a relatively novel but powerful
technique in time series analysis, has been developed and applied to many practical …

We examine properties of residual-based tests for the null of no cointegration for dynamic
panels in which both the short-run dynamics and the long-run slope coefficients are …

A Guide to Modern Econometrics, 5th Edition has become established as a highly
successful textbook. It serves as a guide to alternative techniques in econometrics with an …

Three types of tests are discussed. First we consider the same linear restrictions on all
cointegration relations, then we consider the hypothesis that certain relations are assumed …

In this paper, we consider a model in which there is discontinuous adjustment to a long-run
equilibrium. Here, the equilibrium error follows a threshold autoregression that is mean …

This study considers testing for a unit root in a time series characterized by a structural
change in its mean. The analysis is in the spirit of Perron (1990a), who showed that the …

Originally propounded by the sixteenth-century scholars of the University of Salamanca, the
concept of purchasing power parity (PPP) was revived in the interwar period in the context of …

Since standard tests for mean reversion in real exchange rates may lack power with data
spanning the recent float, researchers have employed more powerful multivariate tests …

We assess the progress made by the profession in understanding real exchange rate
behavior through a selective and critical, but nonetheless expository, review of the literature …