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Quantile unit root test and the PPP in Africa

Author

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  • Mohsen Bahmani-Oskooee
  • Tsangyao Chang
  • Tsung-Hsien Chen
  • Han-Wen Tzeng

Abstract

In this study, we apply the Quantile unit root test and revisit the Purchasing Power Parity (PPP) in 20 African countries using real effective exchange rates over the period 1971Q1 to 2012Q4. While traditional unit root tests fail to reject unit root hypothesis in most of the countries, results from Quantile unit root test reject unit root null hypothesis in Ghana, Mauritius, Niger, South Africa, and Togo, providing support for the PPP at least in these five countries. We further estimate the half-life based on Quantile autoregressive (QAR) model to be about 4.57–7.96 quarters (1–2 year).

Suggested Citation

  • Mohsen Bahmani-Oskooee & Tsangyao Chang & Tsung-Hsien Chen & Han-Wen Tzeng, 2017. "Quantile unit root test and the PPP in Africa," Applied Economics, Taylor & Francis Journals, vol. 49(19), pages 1913-1921, April.
    • Handle: RePEc:taf:applec:v:49:y:2017:i:19:p:1913-1921
    DOI: 10.1080/00036846.2016.1229423
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    Cited by:

    1. Cai, Yifei & Menegaki, Angeliki N., 2019. "Fourier quantile unit root test for the integrational properties of clean energy consumption in emerging economies," Energy Economics, Elsevier, vol. 78(C), pages 324-334.
    2. Thomas L Bradley & Paul B Eberle, 2023. "Purchasing Power Parity In Russia And The Transitioning Economy 1990-1995," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 31, pages 85-111, June.

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