Nonstationary and Level Shifts With An Application To Purchasing Power Parity
The authors consider testing for a unit root in a time series with a structural change in mean occurring at an unknown date. They derive and tabulate the asymptotic distributions of the minimal t-statistic over all possible break points (and other related statistics) in the appropriate regressions. However, emphasis is given to the tabulation of finite sample critical values with particular attention given to the effect of various procedures to select the order of the estimated autoregressions. They apply the test to analyze the issue of purchasing power parity between the U.S. and the U.K. and Finland whose real exchange rates are characterized by apparent shifts in level when using particular price indices.
(This abstract was borrowed from another version of this item.)
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1991|
|Contact details of provider:|| Postal: (609) 258-4000|
Phone: (609) 258-4000
Fax: (609) 258-6419
Web page: http://www.princeton.edu/~erp/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:fth:prinem:359. 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: (Thomas Krichel)
If references are entirely missing, you can add them using this form.