Jimenez-Martin, Juan Angel Jimenez Martin; Fernández, … - Facultad de Ciencias Económicas y Empresariales, … - 2005
cointegration tests that do not assume a specific non-linear adjustment process. Using a first-order Fourier approximation, we find … evidence of non-linear mean reversion in deviations from both absolute and relative PPP. This first-order Fourier approximation …