A note on testing for purchasing power parity

Florian Heinen

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. -- Unit roots ; Misspecification ; Nonlinear data transformation ; Purchasing Power Parity

Year of publication:	2011
Authors:	Heinen, Florian
Publisher:	Hannover : [Wirtschaftswiss. Fak.], Leibniz Univ.
Subject:	Kaufkraftparität \| Purchasing power parity \| Kointegration \| Cointegration \| Modellierung \| Scientific modelling \| Theorie \| Theory

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