Add to ORKGRecent research has reported the lack of correct size in stationarity test for PPP deviations within a linear framework. However, theoretically well motivated nonlinear models, such as the ESTAR, appear to parsimoniously fit the PPP data and provide an explanation for the PPP ¿puzzle¿. Employing Monte Carlo experiments we analyze the size and power of the nonlinear tests against a variety of nonstationary hypotheses. We also fit the ESTAR model to data from high inflation economies. Our results provide further support for ESTAR specification.ESTAR, Real Exchange Rate, Size, Linearity Test.
This paper investigates the purchasing power parity (PPP) hypothesis using panel data. Under PPP the...
Recent research has generated support of the notion that the real exchange rate adjustment is nonlin...
Recent research has generated support to the notion that the real exchange rate adjustment is nonlin...
Recent research has reported the lack of correct size in stationarity test for PPP deviations within...
The recent literature on Purchasing Power Parity (PPP) has emphasized the role of two phenomena that...
Hegwood and Papell (2002) conclude on the basis of analysis in a linear framework that long-run purc...
In this paper we examine the local power of unit root tests against globally stationary exponential ...
In this study, we propose a new unit root test procedure that allows for both gradual structural bre...
In this thesis, we aim to test the Purchasing Power Parity (PPP) hypothesis on data from ten di eren...
We develop unit root tests that allow under the alternative hypothesis for a smooth transition betwe...
This paper develops a linearity test that can be applied to cointegrating relations. We consider the...
We investigate the empirical support to the Purchasing Power Parity hypothesis in sixteen real excha...
Taylor (2002) claims that Purchasing Power Parity (PPP) has held over the 20th century based on stro...
The paper tests for nonlinearities in the adjustment of the euro exchange rate towards purchasing po...
This paper tests for the empirical fulfilment of PPP in Australia (1977-2004). Previous research foc...
This paper investigates the purchasing power parity (PPP) hypothesis using panel data. Under PPP the...
Recent research has generated support of the notion that the real exchange rate adjustment is nonlin...
Recent research has generated support to the notion that the real exchange rate adjustment is nonlin...
Recent research has reported the lack of correct size in stationarity test for PPP deviations within...
The recent literature on Purchasing Power Parity (PPP) has emphasized the role of two phenomena that...
Hegwood and Papell (2002) conclude on the basis of analysis in a linear framework that long-run purc...
In this paper we examine the local power of unit root tests against globally stationary exponential ...
In this study, we propose a new unit root test procedure that allows for both gradual structural bre...
In this thesis, we aim to test the Purchasing Power Parity (PPP) hypothesis on data from ten di eren...
We develop unit root tests that allow under the alternative hypothesis for a smooth transition betwe...
This paper develops a linearity test that can be applied to cointegrating relations. We consider the...
We investigate the empirical support to the Purchasing Power Parity hypothesis in sixteen real excha...
Taylor (2002) claims that Purchasing Power Parity (PPP) has held over the 20th century based on stro...
The paper tests for nonlinearities in the adjustment of the euro exchange rate towards purchasing po...
This paper tests for the empirical fulfilment of PPP in Australia (1977-2004). Previous research foc...
This paper investigates the purchasing power parity (PPP) hypothesis using panel data. Under PPP the...
Recent research has generated support of the notion that the real exchange rate adjustment is nonlin...
Recent research has generated support to the notion that the real exchange rate adjustment is nonlin...