LONG-RUN PURCHASING POWER PARITY AND LONG-TERM-MEMORY - EVIDENCE FROMASIAN NEWLY INDUSTRIALIZED COUNTRIES

Authors
CHOU WL SHIH YC
Citation
Wl. Chou et Yc. Shih, LONG-RUN PURCHASING POWER PARITY AND LONG-TERM-MEMORY - EVIDENCE FROMASIAN NEWLY INDUSTRIALIZED COUNTRIES, Applied economics letters, 4(9), 1997, pp. 575-578
Citations number
20
Categorie Soggetti
Economics
Journal title
Applied economics letters → ACNP
ISSN journal
13504851
Volume
4
Issue
9
Year of publication
1997
Pages
575 - 578
Database
ISI
SICI code
1350-4851(1997)4:9<575:LPPPAL>2.0.ZU;2-L
Abstract
Fractional cointegration in a trivariate model is used to test the lon g-run purchasing power parity hypothesis in four Asian newly industria lized economies. Critical values for the Geweke-Porter-Hudak tests bas ed on Monte Carlo simulations are provided. Evidence of fractional coi ntegration arises when a linear trend is included. Subperiod analysis indicates that a shift in the exchange rate regime is likely to affect the results of cointegration tests.