A Fractional Cointegration Analysis of Purchasing Power Parity
- 1 January 1993
- journal article
- Published by JSTOR in Journal of Business & Economic Statistics
- Vol. 11 (1) , 103
- https://doi.org/10.2307/1391310
Abstract
A generalized notion of cointegration, called fractional cointegration, is introduced to examine the long-run purchasing power parity (PPP) hypothesis. By allow...Keywords
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