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Bayesian and DF-GLS unit root tests of real exchange rates over the current floating period

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Author Info
David O. Cushman () (University of Saskatchewan)

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Abstract

In 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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File URL: http://www.economicsbulletin.com/2001/volume6/EB-01F30001A.pdf
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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 6 (2001)
Issue (Month): ()
Pages: 1-7
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ebl:ecbull:eb-01f30001

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Postal: Economics Bulletin, Department of Economics, 414 Calhoun Hall, Vanderbilt University, Nashville TN 37235, USA
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Related research
Keywords: Bayesian unit root test; DF-GLS test; real exchange rates;

Find related papers by JEL classification:
F3 - International Economics - - International Finance

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This page was last updated on 2009-12-12.

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