Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1081Obstfeld, M. and A. Taylor (1997) Nonlinear aspects of goods-market arbitrage and adjust-
ment: Hecksher’s commodity points revisited.Journal of the Japanese and International
Economies 11 , 441–79.
O’Connell, P. and S. Wei (1997) The bigger they are, the harder they fall: how price dif-
ferences between US cities are arbitraged. Discussion Paper, Department of Economics,
Harvard University.
Ohanissian, A., J. Russell and R. Tsay (2007) True or spurious long memory? A new test.
Journal of Business and Economic Statistics. Forthcoming.
Ozaki, T. (1978) Non-linear models for non-linear random vibrations. Technical Report,
Department of Mathematics, UMIST.
Pavlidis, E., I. Paya and D. Peel (2007) Linearity testing in the presence of heteroskedas-
ticity. InESRC Seminar Series: Nonlinear Economics and Finance Research Community,
Brunel.
Paya, I. and D. Peel (2003) Purchasing power parity adjustment speeds in high frequency
data when the equilibrium real exchange rate is proxied by a deterministic trend.
Manchester School 71 , 39–53.
Paya, I. and D. Peel (2004) Real exchange rates under the gold standard: nonlinear
adjustments.Southern Economic Journal 71 , 302–13.
Paya, I. and D. Peel (2006a) A new analysis of the determinants of the real dollar–sterling
exchange rate: 1871–1994.Journal of Money, Credit and Banking 38 , 1971–90.
Paya, I. and D. Peel (2006b) On the speed of adjustment in ESTAR models when allowance
is made for bias in estimation.Economics Letters 90 , 272–7.
Paya, I. and D. Peel (2006c) Temporal aggregation of an ESTAR process: some implications
for purchasing power parity adjustment.Journal of Applied Econometrics 21 , 655–68.
Paya, I. and D. Peel (2007a) On the relationship between nominal exchange rates and
domestic and foreign prices.Applied Financial Economics 17 , 105–17.
Paya, I. and D. Peel (2007b) Systematic sampling of a nonlinear model. Mimeo, Lancaster
University.
Paya, I., I. Venetis and D. Peel (2003) Further evidence on PPP adjusment speeds: the case
of effective real exchange rates and the EMS.Oxford Bulletin of Economics and Statistics
65 , 421–38.
Peel, D. and J. Davidson (1998) A non-linear error correction mechanism based on the
bilinear model.Economics Letters 2 , 165–70.
Peel, D. and M. Taylor (2002) Covered interest arbitrage in the interwar period and the
Keynes–Einzig conjecture.Journal of Money, Credit and Banking 34 , 51–75.
Peel, D. and I. Venetis (2005) Smooth transition models and arbitrage consistency.
Economica 72 , 413–30.
Pesaran, H. and A. Timmermann (1995) Predictability of stock returns: robustness and
economic significance.Journal of Finance 50 , 1201–28.
Phillips, P. (1991) Shortcut to LAD estimator asymptotics.Econometric Theory 4 , 450–63.
Phillips, P. (1995) Robust nonstationary regression.Econometric Theory 5 , 912–51.
Phillips, P. and B. Hansen (1990) Statistical inference in instrumental variables regression
withI( 1 )processes.Review of Economic Studies 57 , 99–125.
Phillips, P. and T. Magdalinos (2007) Limit theory for moderate deviations from unity
under weak dependence. In G. Phillips and E. Tzavalis (eds.),The Refinement of Econo-
metric Estimation and Test Procedures: Finite Sample and Asymptotic Analysis. Cambridge:
Cambridge University Press.
Phillips, P., J. McFarland and P. McMahon (1996) Robust tests of forward exchange market
efficiencywith empirical evidencefromthe 1920s.Journal of Applied Econometrics 1 ,
1–22.
Phillips, P., Y. Wu and J. Yu (2006) Explosive behavior and the Nasdaq bubble in the
1990s: when did irrational exuberance escalate asset values? Mimeo, Yale University.