Nonlinear adjustment to purchasing power parity for ASEAN countries
Tài liệu tham khảo
Baum, 2001, Nonlinear adjustment to purchasing power parity in the post-Bretton woods, Journal of International Money and Finance, 20, 379, 10.1016/S0261-5606(00)00043-7
Juvenal, 2008, Threshold adjustment of deviations from the law of one price, Studies in Nonlinear Dynamics and Econometrics, 12, 1
Kapetanios, 2003, Testing for a unit root in the nonlinear star framework, Journal of Econometrics, 112, 359, 10.1016/S0304-4076(02)00202-6
Kilian, 2003, Why is it so difficult to beat the random walk forecast of exchange rates?, Journal of International Economics, 60, 85, 10.1016/S0022-1996(02)00060-0
Kwiatkowski, 1992, Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root?, Journal of Econometrics, 54, 159, 10.1016/0304-4076(92)90104-Y
Lothian, 2000, Purchasing power parity over two centuries: strengthening the case for real exchange rate stability reply to Cuddington and Liang, Journal of International Money and Finance, 19, 759, 10.1016/S0261-5606(00)00030-9
Lothian, 2008, Real exchange rates over the past two centuries: how important is the Harrod–Balassa–Samuelson effect?, Economic Journal, 118, 1742, 10.1111/j.1468-0297.2008.02188.x
MacDonald, 1992, Exchange rate economics: a survey, Staff Papers – International Monetary Fund, 39, 1, 10.2307/3867200
Newey, 1994, Automatic lag selection in covariance matrix estimation, Review of Economic Studies, 61, 631, 10.2307/2297912
Park, J.Y., Shintani, M., 2005. Testing for a Unit Root Against Transitional Autoregressive Models. Working Papers. Department of Economics, Vanderbilt University.
Phillips, 1988, Testing for a unit root in time series regression, Biometrika, 75, 335, 10.1093/biomet/75.2.335
Perron, 1989, The great crash, the oil price shock, and the unit root hypothesis, Econometrica, 57, 1361, 10.2307/1913712
Perron, 1997, Further evidence on breaking trend functions in macroeconomic variables, Journal of Econometrics, 80, 355, 10.1016/S0304-4076(97)00049-3
Perron, 2006, Dealing with structural breaks, 278
Rogoff, 1996, The purchasing power parity puzzle, Journal of Economic Literature, 34, 647
Sarno, 2002, Purchasing power parity and the real exchange rate, IMF Staff Papers, 49, 65
Schwarz, 1978, Estimating the dimension of a model, Annals of Statistics, 6, 461, 10.1214/aos/1176344136
Sollis, 2009, A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries, Economic Modelling, 26, 118, 10.1016/j.econmod.2008.06.002
Sollis, 2002, Tests for symmetric and asymmetric nonlinear mean reversion in real exchange rates, Journal of Money, Credit, and Banking, 34, 686, 10.1353/mcb.2002.0007
Taylor, 2004, The purchasing power parity debate, Journal of Economic Perspectives, 18, 135, 10.1257/0895330042632744
Taylor, 1995, The economics of exchange-rates, Journal of Economic Literature, 33, 13
Taylor, 2004, Is official exchange rate intervention effective?, Economica, 71, 1, 10.1111/j.0013-0427.2004.00354.x
Taylor, 2000, Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals, Journal of International Money and Finance, 19, 33, 10.1016/S0261-5606(99)00044-3
Taylor, 1998, The behavior of real exchange rates during the post-Bretton woods period, Journal of International Economics, 46, 281, 10.1016/S0022-1996(97)00054-8
Taylor, 2001, Nonlinear mean-reversion in real exchange rates: toward a solution to the purchasing power parity puzzles, International Economic Review, 42, 1015, 10.1111/1468-2354.00144