Cointegration Tests of the Monetary Exchange Rate Model for Three High-Inflation Economies

1994/08/01 by Robert McNown, Myles S. Wallace
Economics, Econometrics and Finance · #Monetary Policy and Economic Impact #Economic Theory and Policy #Market Dynamics and Volatility

paper · doi:10.2307/2078009

Abstract

Robert McNown, Myles S. Wallace, Cointegration Tests of the Monetary Exchange Rate Model for Three High-Inflation Economies, Journal of Money, Credit and Banking, Vol. 26, No. 3, Part 1 (Aug., 1994), pp. 396-411

Citations

• Macroeconomics and Reality
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Testing for a unit root in time series regression
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Testing for unit roots in autoregressive-moving average models of unknown order
• Expectations and Exchange Rate Dynamics

Related

• Inflation as a function of labor force change rate: cointegration test for the USA
• Panel cointegration tests of the Fisher effect
• Cointegration and exchange market efficiency: An analysis of high frequency data
• Numerical distribution functions for unit root and cointegration tests
• Modelling real GDP per capita in the USA: cointegration test