Nonlinear unit root tests of PPP using long-horizon data
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, 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.
Volume (Year): 6 (2008)
Issue (Month): 33 ()
|Contact details of provider:|| |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Venus Khim-sen Liew & Ahmad Zubaidi Baharumshah & Terence Tai-leung Chong, 2003.
"Are Asian Real Exchange Rates Stationary?,"
0307002, EconWPA, revised 01 Nov 2004.
- Alan M. Taylor, 2000.
"A Century of Purchasing-Power Parity,"
NBER Working Papers
8012, National Bureau of Economic Research, Inc.
- 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.
- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992.
"Efficient Tests for an Autoregressive Unit Root,"
NBER Technical Working Papers
0130, National Bureau of Economic Research, Inc.
- Wallace, Frederick H. & Shelley, Gary L., 2006.
"An alternative test of purchasing power parity,"
Elsevier, vol. 92(2), pages 177-183, August.
- Claude Lopez & Christian J. Murray & David H. Papell, 2004.
"State of the Art Unit Root Tests and Purchasing Power Parity,"
University of Cincinnati, Economics Working Papers Series
2004-04, University of Cincinnati, Department of Economics.
- 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.
- Claude Lopez & Christian J. Murray & David H. Papell, 2003. "State of the Art Unit Root Tests and the PPP Puzzle," Macroeconomics 0310009, EconWPA.
- Zhou, Su, 2008. "Stationarity of Asian-Pacific real exchange rates," Economics Letters, Elsevier, vol. 98(1), pages 16-22, January.
- Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-08f30066. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.