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Testing PPP by means of ZNZ patterned VECM

Brailsford, Timothy John; Penm, Jack HW; Terrell, Richard

Description

Vector error-correction models (VECM) are increasingly being used to capture dynamic relationships between financial variables. Estimation and interpretation of such models can be enhanced if zero restrictions are allowed in the coefficient matrices. Conventional use of full-order models may weaken the power of statistical inferences due to over-parameterization. The paper demonstrates the usefulness of this approach for the analysis of exchange rate relationships. Specifically, the paper...[Show more]

CollectionsANU Research Publications
Date published: 2008
Type: Journal article
URI: http://hdl.handle.net/1885/19205
Source: International Journal of Theoretical and Applied Finance
DOI: 10.1142/S021902490800483X

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