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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... -
Numerical distribution functions of likelihood ratio tests for cointegration ...
This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests for... -
NUMERICAL METHODS FOR ESTIMATION AND INFERENCE IN BAYESIAN VAR-MODELS (replic...
In Bayesian analysis of vector autoregressive models, and especially in forecasting applications, the Minnesota prior of Litterman is frequently used. In many cases other prior... -
Numerical distribution functions for unit root and cointegration tests (repli...
This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test...
