References for Journalarticle 2008-7

Please note: the authoritative source for references in this article is the according PDF file.

Number of references: 41

Bahmani-Oskooee, M. (1995). Real Effective Exchange Rates and the Purchasing Power Parity: Experiences of 19 Industrial Countries. Economic Notes, 24:239-250.

Bai, J., and Ng, S. (2007). Determining the Number of Primitive Shocks in Factor Models. Journal of Business & Economic Statistics, 25:52-60.

Barrett, C.B. (2001). Measuring Integration and Efficiency in International Agricultural Markets. Review of Agricultural Economics, 23:19-32.

Barrett, C.B., and Li, J.-R. (2002). Distinguishing between Equilibrium and Integration in Spatial Price Analysis. American Journal of Agricultural Economics, 84:292-307.

Bedeian, A.G., Day, D.V., and Kelloway, E.K. (1997). Correcting for Measurement Error Attenuation in Structural Equation Models: Some Important Reminders. Educational and Psychological Measurement, 57:787-799.

Bernanke, B.S., Boivin, J., and Eliasz, P. (2005). Measuring the Effects of Monetary Policy: A Factor-augmented Vector Autoregressive (FAVAR) Approach. The Quarterly Journal of Economics, 120:387-422.

Bussière, M. (2007). Exchange Rate Pass-through to Trade Prices: The Role of Non-linearities and Asymmetries. European Central Bank, Working Paper 822.

Camba-Mendez, G., Kapetanios, G., Smith, R.J., and Weale, M.R. (2001). An Automatic Leading Indicator of Economic Activity: Forecasting GDP Growth for European Countries. Econometrics Journal, 4:56-90.

Campa, J.M., and Goldberg, L.S. (2005). Exchange Rate Pass-through into Import Prices. The Review of Economics and Statistics, 87:679-690.

Chinn, M.D. (2006). A Primer on Real Effective Exchange Rates: Determinants, Overvaluation, Trade Flows and Competitive Devaluation. Open economies Review, 17:115-143.

Coakley, J., Flood, R.P., Fuertes, A.M., and Taylor, M.P. (2005). Purchasing Power Parity and the Theory of General Relativity: The First Tests. Journal of International Money and Finance, 24:293-316.

Corbae, D., and Ouliaris (1991). Test of Long-run Purchasing Power Parity allowing for Sstructural Breaks. The Economic Record, 67:26-33.

Crucini, M.J., Telmer, C.I., and Zachariadis, M. (2005). Understanding European Real Exchange Rates. American Economic Review, 95:724-738.

Elliott, G., Rothenberg, T.J., and Stock, J.H. (1996). Efficient Tests for Autoregressive Unit Root. Econometrica, 64:813-836.

Ellis, L. (2001). Measuring the Real Exchange Rate: Pitfalls and Practicalities. Reserve Bank of Australia, Research Discussion Paper 2001-04.

Favero, C.A., Marcellino, M., and Neglia, R. (2005). Principal Components at Work: The Empirical Analysis of Monetary Policy with Large Data Sets. Journal of Applied Econometrics, 20:603-620.

Forni, M., Giannone, D., Lippi, M., and Reichlin, L. (2003). Opening the Black Box: Structural Factor Models Versus Structural VARs. CEPR, Discussion Papers 4133.

Hansen, B.E. (1992). Testing for Parameter Instability in Linear Models. Journal of Policy Modeling, 14:517-533.

Hendry, D.F. (1995). Dynamic Econometrics. Oxford University Press, Oxford.

Hendry, D.F., and Krolzig, H-M. (2001). Automatic Econometric Model Selection. Timberlake Consultants Ltd., London.

Imbs, J., Mumtaz, H.and, and Rey, H. (2005). PPP Strikes Back: Aggregation and the Real Exchange Rate. Quarterly Journal of Economics, 120:1-43.

Isard, P. (1995). Exchange Rate Economics. Cambridge University Press, Cambridge.

Johansen, S. (2006). Cointegration: An Overview. In: Palgrave Handbook of Econometrics, vol.I Econometric Theory, ed. by Mills, T.C., Patterson, K., pp. 540-577, Palgrave MacMillan, New York.

Koedijk, K.G., Tims, B., and van Dijk, M.A. (2004). Purchasing Power Parity and the Euro Area. Journal of International Money and Finance, 23:1081-1107.

Ng, S., and Perron, P. (2001). Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power. Econometrica, 69:1519-1554.

Obstfeld, M., and Rogoff, K. (2000). The Six Major Puzzles in International Macroeconomics: Is there a Common Cause? National Bureau of Economic Research, Working Paper.

Onatski, A. (2005). Determining the Number of Factors from Empirical Distribution of Eigenvalues. Columbia University, Discussion Paper.

Owen, P.D. (2003). General-to-specific Modelling Using PcGets. Journal of Economic Surveys, 17:609-628.

Parsley, D., and Wei, S.J. (2004). A Prism into the PPP Puzzles: The Micro-foundations of Big Mac Real Exchange Rates. CEPR, Discussion Papers 4486.

Phillips, P.C.B., and Perron, P. (1988). Testing for Unit Root in Time Series Regression. Biometrika, 75:335-346.

Phillips, P.C.B. (2005). Automated Discovery in Econometrics. Econometric Theory, 21:3-20.

Pipatchaipoom, O., and Norrbin, S.C. (2006). Re-examining Real Interest Rate Parity. In: .

Qin, D., and Gilbert, C.L. (2001). The Error Term in the History of Time Series Econometrics. Econometric Theory, 17:424-450.

Qin, D., Cagas, M.A., Ducanes, G., Magtibay-Ramos, N., and Quising, P. (2007). Measuring Regional Market Integration by Dynamic Factor Error Correction Model (DF-ECM) Approach: The Case of Developing Asia. Office of Regional Economic Integration, Asian Development Bank, Working Papers 8.

Sarno, L., Taylor, M.P., and Chowdhury, I. (2004). Nonlinear Dynamics in Deviations from the Law of One Price: A Broad-based Empirical Study. Journal of International Money and Finance, 23:1-25.

Sarno, L. (2005). Towards a Solution to the Puzzles in Exchange Rate Economics: Where do we Stand? Canadian Journal of Economics, 38:673-708.

Stock, J.H., and Watson, M.W. (2005). Implications of Dynamic Factor Models for VAR Analysis. National Bureau of Economic Research, Cambridge, Working Paper.

Taylor, M.P., Peel, D.A., and Sarno, L. (2001). Nonlinear Mean-reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzle. International Economic Review, 42:1015-1042.

Taylor, A.M., and Taylor, M.P. (2004). The Purchasing Power Parity Debate. Journal of Economic Perspectives, 18:135-158.

Tucker, L.R., and MacCallum, R.C. (1997). Exploratory Factor Analysis. Unpublished.

Wansbeek, T.,, and Meijer, E. (2000). Measurement Error and Latent Variables in Econometrics. North-Holland, Amsterdam.