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Purchasing Power Parity In Central And Eastern European Countries: An Analysis Of Unit Roots And Nonlinearities

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  • Juan Carlos Cuestas

    (Universidad de Alicante)

Abstract

The aim of this paper is to analyse the empirical fulfilment of PPP in a number of Central and Eastern European countries. For this purpose we apply two different unit root tests in order to control for two sources of nonlinearities, i.e. Bierens (1997) and Kapetanios, Shin and Snell (2003). We find that PPP holds in most of these countries once account has been taken of nonlinear deterministic trends and smooth transitions.

Suggested Citation

  • Juan Carlos Cuestas, 2007. "Purchasing Power Parity In Central And Eastern European Countries: An Analysis Of Unit Roots And Nonlinearities," Working Papers. Serie AD 2007-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  • Handle: RePEc:ivi:wpasad:2007-22
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    References listed on IDEAS

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    More about this item

    Keywords

    PPP; Real Exchange Rate; Unit Roots; nonlinearities; Central and East Europe;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F15 - International Economics - - Trade - - - Economic Integration

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