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Purchasing power parity in OECD countries: Nonlinear unit root tests revisited

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  • Cuestas, Juan Carlos
  • Regis, Paulo José

Abstract

The aim of this paper is to provide additional evidence on the purchasing power parity empirical fulfilment in a pool of OECD countries. We apply the Harvey et al. (2008) linearity test and the Kruse (2011) nonlinear unit root test. The results point to the fact that the purchasing power parity theory holds in a greater number of countries than has been reported in previous studies.

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Bibliographic Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 32 (2013)
Issue (Month): C ()
Pages: 343-346

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Handle: RePEc:eee:ecmode:v:32:y:2013:i:c:p:343-346

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Web page: http://www.elsevier.com/locate/inca/30411

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Keywords: Real exchange rates; Purchasing power parity; Nonlinearities; Unit root tests;

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Cited by:
  1. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.

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