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Testing for multiple level shifts with an integrated or stationary noise comp...
We provide the MATLAB code and datasets to replicate the computation that are carried out in the empirical section of the paper -
On the Empirical Failure of Purchasing Power Parity Tests (replication data)
Empirical research on the validity of the purchasing power parity (PPP) condition is generally based on real exchange rates built using the consumer price index (CPI), but fails... -
THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION (replication data)
In this paper we offer a bootstrap-based version of the Cox specification test for non-nested hypothesis to discriminate between ESTAR and MSAR models. Both models are commonly... -
Aggregation is not the solution: the PPP puzzle strikes back (replication data)
Recently, Imbs, Mumtaz, Ravn and Rey (2005, hereinafter IMRR) have argued that much of the purchasing power parity (PPP) puzzle is due to upwardly biased estimates of... -
Subsampling hypothesis tests for nonstationary panels with applications to ex...
This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross-sectionally correlated, and cross-sectionally cointegrated. The subsampling... -
A nonparametric measure of convergence towards purchasing power parity (repli...
It has been claimed that the deviations from purchasing power parity are highly persistent and have quite long half-lives under the assumption of a linear adjustment of real... -
Temporal aggregation of an ESTAR process: some implications for purchasing po...
Nonlinear models of deviations from PPP have recently provided an important, theoretically well motivated, contribution to the PPP puzzle. Most of these studies use temporally... -
Testing the purchasing power parity through I(2) cointegration techniques (re...
This paper contributes to the empirical literature on the purchasing power parity (PPP) over the post-Bretton Woods period by providing a time-series based interpretation of the... -
Evidence on purchasing power parity from univariate models: the case of smoot...
Recent research has found that trend-break unit root tests derived from univariate linear models do not support the hypothesis of long-run purchasing power parity (PPP) for US... -
More powerful panel data unit root tests with an application to mean reversio...
Unit root tests, seeking mean or trend reversion, are frequently applied to panel data. We show that more powerful variants of commonly applied tests are readily available.... -
Testing long-run PPP with infinite-variance returns (replication data)
This paper investigates the long-run purchasing power parity hypothesis when exchange rate returns and inflation rates are assumed to be heavy-tailed stochastic processes. More... -
Quantifying the uncertainty about the half-life of deviations from PPP (repli...
We propose a Bayesian framework in which the uncertainty about the half-life of deviations from purchasing power parity can be quantified. Based on the responses to a survey... -
Real exchange rate behaviour: evidence from black markets (replication data)
The behaviour of real exchange rates (relative to the US dollar) is examined using monthly data obtained from the black markets for foreign exchange of eight Asian developing... -
Testing the random walk hypothesis for real exchange rates (replication data)
This paper tests the random walk hypothesis for the log-differenced monthly US real exchange rates versus some major currencies. The tests we use are variance ratio test,... -
A non-linear model of the real US/UK exchange rate (replication data)
This paper provides a framework for building and estimating non-linear real exchange rate models. The approach derives the stationary distribution from a continuous time error...
