208
Views
5
CrossRef citations to date
0
Altmetric
Original Articles

Median-unbiased estimation in DF-GLS regressions and the PPP puzzle

, &
Pages 455-464 | Published online: 03 Oct 2011

References

  • Abuaf , N and Jorion , P . 1990 . Purchasing power parity in the long run . Journal of Finance , 45 : 157 – 74 .
  • Andrews , DWK . 1993 . Exactly median-unbiased estimation of first order autoregressive/unit root models . Econometrica , 61 : 139 – 65 .
  • Andrews , DWK and Chen , H-Y . 1994 . Approximately median-unbiased estimation of autoregressive models . Journal of Business and Economic Statistics , 12 : 187 – 204 .
  • Cheung , Y-W and Lai , KS . 1994 . Mean reversion in real exchange rates . Economics Letters , 46 : 251 – 6 .
  • Cheung , Y-W and Lai , KS . 2000 . On the purchasing power parity puzzle . Journal of International Economics , 52 : 321 – 30 .
  • Choi , CY , Mark , N and Sul , D . 2006 . Unbiased estimation of the half-life to PPP convergence in panel data . Journal of Money, Credit and Banking , 38 : 921 – 38 .
  • Diebold , F , Husted , S and Rush , M . 1991 . Real exchange rates under the gold standard . Journal of Political Economy , 99 : 1252 – 71 .
  • Elliott , G and Pesavento , E . 2006 . On the failure of purchasing power parity for bilateral exchange rates after 1973 . Journal of Money, Credit and Banking , 38 : 1405 – 30 .
  • Elliott , G , Rothenberg , T and Stock , JH . 1996 . Efficient tests for an autoregressive unit root . Econometrica , 64 : 813 – 36 .
  • Elliott , G and Stock , JH . 2001 . Confidence intervals for autoregressive coefficients near one . Journal of Econometrics , 103 : 155 – 81 .
  • Engel , CM . 2000 . Long-run PPP may not hold after all . Journal of International Economics , 51 : 243 – 73 .
  • Glen , JH . 1992 . Real exchange rates in the short, medium, and long run . Journal of International Economics , 33 : 147 – 66 .
  • Hall , A . 1994 . Testing for a unit root in time series with pretest data-based model selection . Journal of Business and Economic Statistics , 12 : 461 – 70 .
  • Hansen , B . 1999 . The grid bootstrap and the autoregressive model . The Review of Economics and Statistics , 81 : 594 – 607 .
  • Imbs , J , Mumtaz , H , Ravin , M and Rey , H . 2005 . PPP strikes back: aggregation and the real exchange rate . Quarterly Journal of Economics , 120 : 1 – 43 .
  • Inoue , A and Kilian , L . 2002 . Bootstrapping autoregressive processes with possible unit roots . Econometrica , 70 : 377 – 91 .
  • Kilian , L . 1998 . Small-sample confidence intervals for impulse response functions . The Review of Economics and Statistics , 80 : 218 – 30 .
  • Kilian , L . 1999 . Finite-sample properties of percentile and percentile-t bootstrap confidence intervals for impulse responses . The Review of Economics and Statistics , 81 : 652 – 60 .
  • Kilian , L and Zha , T . 2002 . Quantifying the uncertainty about the half-life of deviations from PPP . Journal of Applied Econometrics , 17 : 107 – 25 .
  • Lopez , C . 2008 . Evidence of purchasing power parity for the floating regime period . Journal of International Money and Finance , 27 : 156 – 64 .
  • Lopez , C , Murray , CJ and Papell , DH . 2005 . State of the art unit root tests and purchasing power parity . Journal of Money, Credit and Banking , 37 : 361 – 9 .
  • Lothian , J and Taylor , M . 1996 . Real exchange rate behavior: the recent float from the perspective of the past two centuries . Journal of Political Economy , 104 : 488 – 509 .
  • Murray , CJ and Papell , DH . 2002 . The purchasing power parity persistence paradigm . Journal of International Economics , 56 : 1 – 19 .
  • Murray , CJ and Papell , DH . 2005 . Do panels help solve the PPP puzzle? . Journal of Business and Economics Statistics , 23 : 410 – 15 .
  • Ng. , S and Perron , P . 2001 . Lag length selection and the construction of unit root tests with good size and power . Econometrica , 69 : 1519 – 54 .
  • Papell , DH and Prodan , R . 2007 . Restricted structural change and the unit root hypothesis . Economic Inquiry , 45 : 834 – 53 .
  • Perron , P . 1989 . The great crash, the oil price shock, and the unit root hypothesis . Econometrica , 57 : 1361 – 401 .
  • Rogoff , K . 1996 . The purchasing power parity puzzle . Journal of Economic Literature , 34 : 647 – 68 .
  • Rossi , B . 2005 . Confidence intervals for half-life deviations from purchasing power parity . Journal of Business and Economic Statistics , 23 : 432 – 42 .
  • Taylor , AM . 2001 . Potential pitfalls for the purchasing-power-parity puzzle? Sampling and specification biases in mean-reversion tests of the law of one price . Econometrica , 69 : 473 – 98 .
  • Taylor , AM . 2002 . A century of purchasing power parity . The Review of Economics and Statistics , 84 : 139 – 50 .

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:

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:

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.