A note on testing for purchasing power parity
We examine the asymptotic behavior of unit root tests against nonlinear alternatives of the exponential smooth transition type if the data is erroneously nonlinearly transformed. We show analytically and by a Monte Carlo study that the probability of rejecting the correct null of a random walk depends heavily on the type of data transformation.
|Date of creation:||May 2011|
|Contact details of provider:|| Postal: Koenigsworther Platz 1, D-30167 Hannover|
Phone: (0511) 762-5350
Fax: (0511) 762-5665
Web page: http://www.wiwi.uni-hannover.de
More information through EDIRC
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.:
- de Jong, Robert M., 2004. "Addendum To," Econometric Theory, Cambridge University Press, vol. 20(03), pages 627-635, June.
- de Jong, Robert M. & Schmidt, Peter, 2002. "Spurious logarithms and the KPSS statistic," Economics Letters, Elsevier, vol. 76(3), pages 383-391, August.
When requesting a correction, please mention this item's handle: RePEc:han:dpaper:dp-471. 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: (Heidrich, Christian)
If references are entirely missing, you can add them using this form.