Non-linearity versus non-normality in real exchange rate dynamics

We distinguish non-normality from non-linearity in G7 real exchange rate dynamics by correcting the critical values of the Kapetanios et al. [Kapetanios, G., Shin, Y., Snell, A., 2003. Testing for a unit root in the non-linear STAR framework. Journal of Econometrics, 112, 359-379] test for non-normality using the wild bootstrap. Our findings validate non-linear Purchasing Power Parity net of non-normality effects.

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Year of publication:	2008
Authors:	Arghyrou, Michael G. ; Gregoriou, Andros
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 100.2008, 2, p. 200-203
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005158770