美国代写essay两步协整检验理论

by | 14-Jun-2013 | 美国论文代写

美国代写essay

After Engel and Granger (1987) proposed two-step cointegration test theory, a large number of empirical tests were put forward to testify the long term PPP condition. Taylor (1988) enlarged the constraints and tested whether there was a cointegration relationship between the nominal exchange rate and the relative price. The conclusion from his study did not support long-term PPP condition. Diebold et al. (1991) and Cheung, Lai (1993) reached the same conclusion in their studies: their test using co-integration theory does not support long-term PPP condition either. These findings not only led to the development of PPP theory, but also promoted the progress of the quantitative methodology. A basic consensus that the PPP does not hold over a long period is that unit root and co-integration tests have low efficiency (i.e. accepting the false null hypothesis), which led to a potential study to improve the efficiency of tests. So the researchers expanded the sample in two ways to solve this problem: (1) the use of large-span of long-term historical data; (2) using multi-country cross-time series data analysis techniques that is the panel data approach (panel datum.). Both these two methods have their own shortcomings. Also the conclusions of these two tests are not same.
Researches on PPP began to focus on the deviation of the PPP. The key point turns from the test of PPP condition to the decision making of real exchange rate and the rate of convergence to the deviation of the PPP (Enge1, 1996).

 

 

美国代写essay

恩格尔和格兰杰后(1987)提出的两步协整检验理论,大量的实证检验提出了长期的PPP验证条件。泰勒(1988)扩大了约束和测试是否名义汇率和相对价格之间存在协整关系是。从他的研究结论不支持长期购买力平价条件。Diebold等人。(1991)和翔,LAI(1993)在他们的研究中得出了同样的结论:运用协整理论测试不支持长期购买力平价条件。这些结果不仅导致购买力平价理论的发展,也促进了定量方法的研究进展。该PPP不持有长期的基本共识是,单位根和协整检验效率低(即接受错误的假设),这导致提高测试的效率的一个潜在的研究。因此研究人员扩大样本中的两种方法来解决这个问题:(1)的长期历史数据,使用大跨度;(2)使用多国家跨时间序列的数据分析技术,是面板数据的方法(面板数据。)。这两种方法都有自己的缺点。同时这两个测试的结论是不一样的。

研究了PPP开始关注PPP偏差。重点从购买力平价条件试验对决策的实际汇率和收敛的PPP偏差率(enge1,1996)。

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