Nonlinear unit root tests of PPP using long-horizon data

The Kapetanios, Shin, and Snell (KSS, 2003) test for a nonlinear unit root is used to study purchasing power parity using Taylor's extensive data set, d to include recent exchange rate and price level data. The results i) indicate that PPP holds with respect to the US dollar for most countries and ii) are more supportive of PPP than those from standard linear unit root tests.

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Year of publication:	2008
Authors:	Wallace, Frederick
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 6.2008, 33, p. 1-8
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	F3 - International Finance ; C2 - Econometric Methods: Single Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005094819