Purchasing Power Parity: Evidence from a New Test

Franc J.G.M. Klaassen

doi:10.2139/ssrn.166500

journal article Jan 01, 1999

Purchasing Power Parity: Evidence from a New Test

Franc J.G.M. Klaassen

SSRN Electronic Journal · Elsevier BV

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Standard errors in parentheses and p-values in square brackets; * is signi?cant at 5% level

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The residual is the exchange rate change minus the estimate of its conditional expectation Et�1fstg. The regime probability to integrate out the unobserved regimes in this expectation can be found in appendix C. The residual is normalized by its variance

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All autocorrelation statistics have been de?ned below table 1, although the standard error of � 1 and the value of Q10 are no longer corrected for heteroskedasticity 10.5860/choice.38sup-095

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Standard errors in parentheses and p-values in square brackets; * is signi?cantly greater than 0.5 at 5% level

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"Correct direction" denotes the fraction of forecasts that yield the correct direction of change of the exchange rate level. For the one-quarter and one-year horizon the standard errors have been corrected for autocorrelation as" The whole series except for the last quarter has been used for estimation, while the last quarter (304 weeks from (1991)

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Published: Jan 01, 1999

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Franc J.G.M. Klaassen

Cite This Article

Franc J.G.M. Klaassen (1999). Purchasing Power Parity: Evidence from a New Test. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.166500

Purchasing Power Parity: Evidence from a New Test

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