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Evidence on PPP from Middle Income Countries in the Nonlinear STAR Framework

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  • Shabbir Ahmad

Abstract

This study uses the standard Augmented Dickey-Fuller (ADF) linear test and a new nonlinear test to model the behavior of Real Effective Exchange Rate (REER) for five middle income economies and an oil-producing country. Using monthly data from 1982M1 to 2006M1, the estimation results indicate that the new nonlinear test is more successful in detecting the existence of multi-country Purchasing Power Parity (PPP) than ADF test.

Suggested Citation

  • Shabbir Ahmad, 2010. "Evidence on PPP from Middle Income Countries in the Nonlinear STAR Framework," The IUP Journal of Monetary Economics, IUP Publications, vol. 0(4), pages 75-78, November.
    • Handle: RePEc:icf:icfjmo:v:08:y:2010:i:3:p:75-78
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