K
Kon S. Lai
Researcher at California State University, Los Angeles
Publications - 53
Citations - 6398
Kon S. Lai is an academic researcher from California State University, Los Angeles. The author has contributed to research in topics: Exchange rate & Purchasing power parity. The author has an hindex of 28, co-authored 53 publications receiving 6158 citations. Previous affiliations of Kon S. Lai include University of California & California State University.
Papers
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On the purchasing power parity puzzle
Yin-Wong Cheung,Kon S. Lai +1 more
TL;DR: This paper analyzed the adjustment dynamics of real exchange rates through impulse response analysis and found that the dynamic response pattern suggests that the shock response is initially amplified before dissipating and that such non-monotonic dynamics can contribute to more than one-third of the observed persistence of the real exchange rate.
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Finite-sample sizes of johansen's likelihood ratio tests for cointegration
Yin-Wong Cheung,Kon S. Lai +1 more
TL;DR: In this paper, the authors examined the finite-sample bias of S. Johansen's likelihood ratio tests for cointegration using the Monte Carlo method and showed the importance of lag length selection for Johansen tests and the performance of standard lag selection criteria in choosing the proper lag length.
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A Fractional Cointegration Analysis of Purchasing Power Parity
Yin-Wong Cheung,Kon S. Lai +1 more
TL;DR: In this article, a generalized notion of cointegration, called fractional co-integration is introduced to examine the long-run purchasing power parity (PPP) hypothesis, and empirical results show that PPP reversion exists and can be characterized by a fractionally integrated process in three out of five countries studied.
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Lag Order and Critical Values of the Augmented Dickey–Fuller Test
Yin-Wong Cheung,Kon S. Lai +1 more
TL;DR: This paper showed that the lag order, in addition to the sample size, can affect the finite-sample behavior of the test and pointed out the importance of correcting for the effect of lag order in applying the ADF test.
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Long-run purchasing power parity during the recent float
Yin-Wong Cheung,Kon S. Lai +1 more
TL;DR: In this paper, the relevance of long-run purchasing power parity (PPP), which allows for measurement errors, during the recent floating exchange rate period was examined using maximum likelihood procedure, and significant evidence favorable to long run PPP was found.