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A Fractional Cointegration Analysis of Purchasing Power Parity
Home
Publications
A Fractional Cointegration Analysis of Purchasing Power Parity
A Fractional Cointegration Analysis of Purchasing Power Parity
YC
Yin-Wong Cheung
Yin-Wong Cheung
KL
Kon S. Lai
Kon S. Lai
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1 January 1993
journal article
Published by
JSTOR
in
Journal of Business & Economic Statistics
Vol. 11
(1)
,
103
https://doi.org/10.2307/1391310
Abstract
A generalized notion of cointegration, called fractional cointegration, is introduced to examine the long-run purchasing power parity (PPP) hypothesis. By allow...
Keywords
PPP
PARITY
GENERALIZED NOTION
ANALYSIS OF PURCHASING
FRACTIONAL COINTEGRATION ANALYSIS
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Open Access
Cited by 117 articles