Non-linearity versus non-normality in real exchange rate dynamics
AbstractWe distinguish non-normality from non-linearity in G7 real exchange rate dynamics by correcting the critical values of the Kapetanios et al. [Kapetanios, G., Shin, Y., Snell, A., 2003. Testing for a unit root in the non-linear STAR framework. Journal of Econometrics, 112, 359-379] test for non-normality using the wild bootstrap. Our findings validate non-linear Purchasing Power Parity net of non-normality effects.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 100 (2008)
Issue (Month): 2 (August)
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