Standard autocorrelation corrections applied to cointegrating regressions can lead to erroneous first-differencing. Such outcomes are shown to be possible under a range of environments, including cases with autocorrelation coefficients substantially less than 1. First-differencing of a cointegrating regression results in estimates that may bear little relation to the parameters in the original untransformed relation, resulting in misinterpretation of the parameter estimates. These results are proved analytically and demonstrated with simulations and empirical examples.

The literature on the Fisher effect has ignored the potential relationship between inflation and long-term interest rates. Using an expectations model of the term structure of interest rates, the authors establish the conditions under which innovations in short-term inflation will be transmitted to long-term as well as short-term interest rates. Cointegration tests find support for both the Fisher effect and the expectations theory of the term structure. Copyright 1993 by MIT Press.

Scott W. Barnhart, Robert McNown, Myles S. Wallace, Non-Informative Tests of the Unbiased Forward Exchange Rate, The Journal of Financial and Quantitative Analysis, Vol. 34, No. 2 (Jun., 1999), pp. 265-291

Paul Davis and Gustav Papanek (1984) ranked major economics departments by citations; however, their approach was not novel. Dennis Gerretz and Richard McKenzie (1978) initiated the use of citations to rank economics departments. Though they ranked only southern economics departments for the years 1976 and 1977, GerritzMcKenzie used both total citations and mean citations as ranking criteria. As Davis-Papanek and Gerritz-McKenzie have shown, the citation-ranking approach eliminates many of the problems of ranking departments using journal articles and offers a qualitative as well as quantitative measure of faculty productivity. Both studies, however, ranked only Ph.D. granting institutions and ignored those economics departments which offer a master's degree as the highest degree awarded. Although many Ph.D.granting departments have master's programs, these institutions tend to concentrate on training future academicians and to treat the master's degree as a consolation prize for unsuccessful Ph.D. students. While non-Ph.D.-granting institutions may have different incentives, teaching loads, computer and library support, and quality and extent of graduate research assistantships, we use a citations-based criterion to demonstrate that these institutions should not be neglected as sources of economic research.' Column (1) of Table 1 shows the ranking of economics departments offering the master's degree as the highest degree based upon the average number of citations for the years 1977-1981 for department faculties denoted in the 1982 catalogs of their respective institutions (ties are ranked equally). Our procedure differs from Davis-Papanek in that they averaged citations from 1978 and 1981 only. Given the wide range of faculty size, column (2) denotes the mean citation per faculty member per year. As Davis-Papanek found for Ph.D.-granting institutions, the rankings do change significantly. Four of the top ten departments are replaced by smaller departments and there is considerable shuffling among the remaining top ten departments. Since Davis-Papanek included faculty members citing their own work, this may bias one of the major advantages of using citations instead of the number of major journal publications; that is, citations measure the quality of a person's research in stimulating further research by others. Column (3) ranks departments by citations per year adjusting for self-citations. In some cases this correction is important. For example, Auburn moves from 9th to 15th, Brigham Young from 5th to 13th, and West Texas State from 12th to 6th. In general, there is a high correlation between the two rankings (the Spearman rank correlation coefficient is .99). Another potential weakness of a citation index is the fact that one article cited ten times is weighted equally with ten articles cited once each. It would be an interesting exercise to examine how innovations in the literature (as measured by citations per article) compare between master's only institutions, and middleto lower-ranked Ph.D. programs. Because Davis-Papanek do not separate the number of articles cited from the number of citations, we are unable to make this comparison. For this reason, the number of articles is not reported in our tables. For master's only institutions, the * Blair and Wallace: Department of Economics, Clemson University, 222 Sirrin Hall, Clemson, SC 29631; Cottle: University of Mississippi. We thank an anonymous referee for helpful suggestions on a earlier draft. Any remaining errors are our own. 'Philip Graves et al. (1982) included master's only institutions in their publications-based rankings.

In this paper, the authors present evidence that neither large differences in inflation nor long time periods are necessary for a finding favorable to purchasing power parity. Evidence from cointegrating regressions and tests of the real exchange rate indicate that purchasing power parity held as a long-run constraint between the United States and Canada for the period 1950:10 to 1961:5. The authors also find that government intervention can distort purchasing power parity over a finite period. Once the data were extended beyond the period of the free float, the evidence is no longer favorable to purchasing power parity. Copyright 1991 by MIT Press.