Advanced search
Publication Cover
Applied Financial Economics Volume 16, 2006 - Issue 1-2: Purchasing Power Parity and Real Exchange Rates
Submit an article Journal homepage
200
Views
36
CrossRef citations to date
0
Altmetric
Original Articles

Testing for Purchasing Power Parity using stationary covariates

Jomana Amara Defense Resources Management Institute, Naval Postgraduate School, 699 Dyer Road, Bldg 234, Monterey, CA, USA
&
David H. Papell Department of Economics, University of Houston, Houston, TX 77204, USACorrespondence[email protected]
Pages 29-39 | Published online: 19 Aug 2006

Citations (36)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (9)

Chi-Wei Su, Hsu-Ling Chang, Tsangyao Chang & Chia-Hao Lee. (2012) Purchasing power parity for BRICS: linear and nonlinear unit root tests with stationary covariates. Applied Economics Letters 19:16, pages 1587-1591.
Read now
Ching-Chuan Tsong & Cheng-Feng Lee. (2012) Re-examining the Fisher Effect: An Application of Small Sample Distributions of the Covariate Unit Root Test. Global Economic Review 41:2, pages 189-207.
Read now
BenjaminJ. C. Kim & Andrew Perumal. (2011) Are Asian-Pacific real exchange rates (trend) stationary?. Applied Economics Letters 18:16, pages 1531-1535.
Read now
Jomana Amara. (2011) Testing for stationarity using covariates: an application to purchasing power parity. Applied Economics Letters 18:13, pages 1295-1301.
Read now
Cheng-Feng Lee & Ching-Chuan Tsong. (2011) Covariate selection for testing purchasing power parity. Applied Economics 43:15, pages 1923-1933.
Read now
Ching-Chuan Tsong. (2010) Are Real Exchange Rates Mean Reverting in Developing Economies in Asia? A Covariate Stationarity Approach. International Economic Journal 24:3, pages 397-412.
Read now
Maxym Chaban. (2010) Cointegration analysis with structural breaks and deterministic trends: an application to the Canadian dollar. Applied Economics 42:23, pages 3023-3037.
Read now
Pär Sjölander. (2008) A new test for simultaneous estimation of unit roots and GARCH risk in the presence of stationary conditional heteroscedasticity disturbances. Applied Financial Economics 18:7, pages 527-558.
Read now
Lean Hooi Hooi & Russell Smyth. (2007) Are Asian real exchange rates mean reverting? Evidence from univariate and panel LM unit root tests with one and two structural breaks. Applied Economics 39:16, pages 2109-2120.
Read now

Articles from other publishers (27)

Milda Norkutė & Joakim Westerlund. (2021) The factor analytical approach in near unit root interactive effects panels. Journal of Econometrics 221:2, pages 569-590.
Crossref
Artūras Juodis & Joakim Westerlund. (2022) Optimal panel unit root testing with covariates. The Econometrics Journal 22:1, pages 57-72.
Crossref
Kaddour Hadri, Eiji Kurozumi & Daisuke Yamazaki. (2015) Synergy between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests. The Manchester School 83:6, pages 676-700.
Crossref
Giorgio Canarella, Stephen M. Miller & Stephen K. Pollard. (2014) Purchasing Power Parity Between the UK and Germany: The Euro Era. Open Economies Review 25:4, pages 677-699.
Crossref
Cheng-Feng Lee, Te-Chung Hu, Ping-Cheng Li & Ching-Chuan Tsong. (2013) Asymmetric behavior of unemployment rates: Evidence from the quantile covariate unit root test. Japan and the World Economy 28, pages 72-84.
Crossref
Ching-Chuan Tsong, Chien-Wei Wu, Hsien-Hung Chiu & Cheng-Feng Lee. (2013) Covariate unit root tests under structural change and asymmetric STAR dynamics. Economic Modelling 33, pages 101-112.
Crossref
Cheng-Feng Lee & Ching-Chuan Tsong. (2013) BOOTSTRAPPING COVARIATE UNIT ROOT TESTS: AN APPLICATION TO INFLATION RATES. Bulletin of Economic Research 65, pages s165-s174.
Crossref
Ching-Chuan Tsong & Cheng-Feng Lee. (2013) FURTHER EVIDENCE ON REAL INTEREST RATE EQUALIZATION: PANEL INFORMATION, NON-LINEARITIES AND STRUCTURAL CHANGES. Bulletin of Economic Research 65, pages s85-s105.
Crossref
Mauro Costantini & Claudio Lupi. (2012) A Simple Panel‐CADF Test for Unit Roots*. Oxford Bulletin of Economics and Statistics 75:2, pages 276-296.
Crossref
Florin G. Maican & Richard J. Sweeney. (2013) Real exchange rate adjustment in European transition countries. Journal of Banking & Finance 37:3, pages 907-926.
Crossref
Sebastian Fossati. (2012) Covariate unit root tests with good size and power. Computational Statistics & Data Analysis 56:11, pages 3070-3079.
Crossref
CHING-CHUAN TSONG, CHENG-FENG LEE & CHIEN-CHIANG LEE. (2012) A REVISIT TO THE STATIONARITY OF OECD INFLATION: EVIDENCE FROM PANEL UNIT-ROOT TESTS AND THE COVARIATE POINT OPTIMAL TEST*. Japanese Economic Review 63:3, pages 380-396.
Crossref
Ilir Miteza. (2012) The Law of One Price in Six Central and Eastern European Economies. Comparative Economic Studies 54:3, pages 581-596.
Crossref
Shiu-Sheng Chen. (2010) Does extracting inflation from stock returns solve the purchasing power parity puzzle?. Empirical Economics 42:3, pages 1097-1105.
Crossref
Jason J. Wu. (2012) Semiparametric forecast intervals. Journal of Forecasting 31:3, pages 189-228.
Crossref
CHENG‐FENG LEE & CHING‐CHUAN TSONG. (2011) DO REAL INTEREST RATES REALLY CONTAIN A UNIT ROOT? MORE EVIDENCE FROM A BOOTSTRAP COVARIATE UNIT ROOT TEST. Pacific Economic Review 16:5, pages 616-637.
Crossref
Ching-Chuan Tsong. (2011) Testing for a unit root with covariates against nonlinear alternatives. Economic Modelling 28:3, pages 1226-1234.
Crossref
Ching-chuan Tsong & Cheng-feng Lee. (2010) TESTING FOR STATIONARITY OF INFLATION RATES WITH COVARIATES. South African Journal of Economics 78:4, pages 344-362.
Crossref
Juan A. Jiménez-Martin & M. Dolores Robles-Fernandez. (2009) PPP: Delusion or Reality? Evidence from a Nonlinear Analysis. Open Economies Review 21:5, pages 679-704.
Crossref
Dimitris K. Christopoulos & Miguel A. León-Ledesma. (2010) Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates. Journal of International Money and Finance 29:6, pages 1076-1093.
Crossref
Alena Kimakova. (2008) The political economy of exchange rate regime determination: Theory and evidence. Economic Systems 32:4, pages 354-371.
Crossref
Robert J. Sonora. (2008) Bivariate relative city price convergence in the United States: 1918–1997. Review of Financial Economics 17:2, pages 92-111.
Crossref
Joseph D. Alba & David H. Papell. (2007) Purchasing power parity and country characteristics: Evidence from panel data tests. Journal of Development Economics 83:1, pages 240-251.
Crossref
Dimitrios Sideris. (2008) Real exchange rates over a century: the case of the Drachma / Sterling rate, 1833-1939. SSRN Electronic Journal.
Crossref
Giorgio Canarella, Stephen M. Miller & Stephen K. Pollard. (2013) Purchasing Power Parity between the UK and the Euro Area. SSRN Electronic Journal.
Crossref
Jason Wu & Aaron Game. (2011) Cointegration Test with Stationary Covariates and the CDS-Bond Basis During the Financial Crisis. SSRN Electronic Journal.
Crossref
Stefan Lyocsa, Tomas Vyrost & Eduard Baumohl. (2011) Unit-Root and Stationarity Testing with Empirical Application on Industrial Production of CEE-4 Countries. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.