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Author: | Kuo, B. Mikkola, A. |
Title: | Re-examining long-run purchasing power parity |
Journal: | Journal of International Money and Finance
1999 : APR, VOL. 18:2, p. 251-266 |
Index terms: | PURCHASING POWER PARITY INTERNATIONAL MONEY |
Language: | eng |
Abstract: | The authors' results complement the recent findings of real exchange rates as stationary processes. Applying a battery of unit root tests can be problematic, since the tests are sensitive to the specifics of the time-series process. The novelty of the authors' approach is in emphasizing the information content of the data to distinguish between the competing processes. Stationary and non-stationary ARIMA processes are fitted to the US/UK real exchange rate series, covering 134 years. |
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