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Purchasing Power Parity, Balanced Growth, and Volatility Forecasting: An Application of Recent Developments in Time Series Analysis by Periklis Gogas

Purchasing Power Parity, Balanced Growth, and Volatility Forecasting: An Application of Recent Developments in Time Series Analysis

by Periklis Gogas
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₹1,196.00
₹1,196.00
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₹1,196.00
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Book cover type: Paperback
  • ISBN13: 9781312750142
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Lulu.com
  • Publisher Imprint: Lulu.com
  • Publication Date:
  • Pages: 168
  • Original Price: USD 12.01
  • Language: English
  • Edition: N/A
  • Item Weight: 254 grams
  • BISAC Subject(s): General

I use recent advance in statistics and econometrics in an effort to re-test some well-known theoretical propositions, examine whether those new techniques support the theory, provide models that are better fitted to describe and forecast economic time-series. The Purchasing Power Parity theory is tested using the Fisher and Seater (1993) and King and Watson (1997) methodologies and strong evidence in support of PPP is found. I use the general class of ARCH/GARCH processes to model financial time series in an ARIMA framework and the best fitted models outperform traditional ARIMA models in terms of the forecast variance. Finally, I test the balanced growth theory and try to estimate a money demand function using the Johansen and Juselius (1993) methodology. I do not find evidence in support of the balanced growth theory and a stable money demand function, and these results are not sensitive to different monetary aggregates that are constructed according to recent index number theory.

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