Testing long‐run PPP with infinite‐variance returns
在汇率和通胀率服从厚尾分布（无限方差）的假设下，用残差和似然比协整检验重新检验长期购买力平价，发现对PPP的支持略有减弱。
Abstract This paper investigates the long‐run purchasing power parity hypothesis when exchange rate returns and inflation rates are assumed to be heavy‐tailed stochastic processes. More specifically, residual‐based and likelihood‐ratio‐based cointegration tests of PPP that explicitly allow for infinite‐variance innovations are applied to monthly data (1973:1–1999:12) for Belgium, Canada, Denmark, France, Germany, Italy, Japan, the Netherlands, Norway, Spain, Sweden, and the United Kingdom. Our test results are marginally less supportive of PPP when the innovations are assumed to be infinite‐variance, α‐stable processes. Copyright © 2003 John Wiley & Sons, Ltd.