Bayesian and DF-GLS unit root tests of real exchange rates over the current floating period

In an analysis of purchasing power parity, the Phillips-Ploberger (1994) Bayesian model selection and unit root test procedure is applied to 53 real exchange rates over the current floating exchange rate period. The DF-GLS unit root test of Elliott, Rothenberg, and Stock (1996) is also applied. The Bayesian test provides very little support for the stationarity of the real exchange rates, while the DF-GLS test provides somewhat more support.

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Year of publication:	2001
Authors:	Cushman, David O.
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 6.2001, 1, p. 1-7
Publisher:	AccessEcon
Subject:	Bayesian unit root test

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	F3 - International Finance
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005416992