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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 期刊論文 > Item 140.119/120637

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/120637

Title:	Re-examining long-run purchasing power parity
Authors:	Biing-ShenKuo 郭炳伸 Mikkola, Anne
Contributors:	國貿系
Date:	1999-02
Issue Date:	2018-10-19 17:34:24 (UTC+8)
Abstract:	Our 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 our 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. Artificial data are generated, and the small sample distributions of the chosen test statistics are computed under each of the two hypotheses, The values of the actual sample statistics seem to come rather from the stationary than from the non-stationary process. (C) 1999 Elsevier Science Ltd. All rights reserved.
Relation:	JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 18(2), 251-266
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/S0261-5606(99)00007-8
DOI:	10.1016/S0261-5606(99)00007-8
Appears in Collections:	[國際經營與貿易學系 ] 期刊論文

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