Nonlinear unit root tests of PPP using long-horizon data
AbstractThe Kapetanios, Shin, and Snell (KSS, 2003) test for a nonlinear unit root is used to study purchasing power parity using Taylor's extensive data set, d to include recent exchange rate and price level data. The results i) indicate that PPP holds with respect to the US dollar for most countries and ii) are more supportive of PPP than those from standard linear unit root tests.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 6 (2008)
Issue (Month): 33 ()
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Find related papers by JEL classification:
- F3 - International Economics - - International Finance
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
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