Long-run purchasing power parity and long-term memory: evidence from Asian newly industrialized countries

W. L. Chou and Y. C. Shih

Applied Economics Letters, 1997, vol. 4, issue 9, 575-578

Abstract: Fractional cointegration in a trivariate model is used to test the long-run purchasing power parity hypothesis in four Asian newly industrialized economies. Critical values for the Geweke-Porter-Hudak tests based on Monte Carlo simulations are provided. Evidence of fractional cointegration 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

Date: 1997
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DOI: 10.1080/135048597355069

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