Bayesian and DF-GLS unit root tests of real exchange rates over the current floating period
AbstractIn an analysis of purchasing power parity, the Phillips-Ploberger (1994) Bayesian model selection and unit root test procedure is applied to 53 real exchange rates over the current floating exchange rate period. The DF-GLS unit root test of Elliott, Rothenberg, and Stock (1996) is also applied. The Bayesian test provides very little support for the stationarity of the real exchange rates, while the DF-GLS test provides somewhat more support.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 6 (2001)
Issue (Month): 1 ()
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Bayesian unit root test;
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- Francis W. Ahking, 2002.
"Efficient Unit Root Tests of real Exchange Rates in the Post-Bretton Woods Era,"
2002-17, University of Connecticut, Department of Economics.
- Francis Ahking, 2003. "Efficient unit root tests of real exchange rates in the post-Bretton Woods era," Economics Bulletin, AccessEcon, vol. 6(7), pages 1-12.
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