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Nonlinear unit root tests of PPP using long-horizon data

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Author Info
Frederick Wallace () (Universidad de Quintana Roo)

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Abstract

The 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, updated 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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File URL: http://economicsbulletin.vanderbilt.edu/2008/volume6/EB-08F30066A.pdf
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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 6 (2008)
Issue (Month): 33 ()
Pages: 1-8
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ebl:ecbull:v:6:y:2008:i:33:p:1-8

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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: nonlinear unit root; purchasing power parity;

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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

References listed on IDEAS
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  1. Wallace, Frederick H. & Shelley, Gary L., 2006. "An alternative test of purchasing power parity," Economics Letters, Elsevier, vol. 92(2), pages 177-183, August. [Downloadable!] (restricted)
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  2. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June. [Downloadable!] (restricted)
  3. Liew, Venus Khim-sen & Baharumshah, Ahmad Zubaidi & Chong, Terence Tai-leung, 2004. "Are Asian real exchange rates stationary?," Economics Letters, Elsevier, vol. 83(3), pages 313-316, June. [Downloadable!] (restricted)
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  4. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July. [Downloadable!] (restricted)
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  5. Lopez, Claude & Murray, Christian J & Papell, David H, 2005. "State of the Art Unit Root Tests and Purchasing Power Parity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(2), pages 361-69, April.
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  6. Mohsen Bahmani-Oskooee & Ali Kutan & Su Zhou, 2007. "A Century of Purchasing Power Parity: Further Evidence," Economics Bulletin, Economics Bulletin, vol. 6(31), pages 1-9. [Downloadable!]
  7. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February. [Downloadable!] (restricted)
  8. Alan M. Taylor, 2000. "A Century of Purchasing-Power Parity," NBER Working Papers 8012, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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This page was last updated on 2009-11-16.

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