Purchasing power parity with nonlinear threshold unit root test

This study applies a simple and powerful nonlinear threshold unit root test proposed by Caner and Hansen (2001) to test the validity of long-run Purchasing Power Parity (PPP) in a sample of nine East Asian countries. The empirical results indicate that PPP holds true for more than half of these nine East Asian countries under study, and the adjustment towards PPP is found to be nonlinear.

MoreLess

Year of publication:	2012
Authors:	Chang, Tsangyao ; Su, Chi-Wei ; Liu, Yu-Shao
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 19.2012, 9, p. 839-842
Publisher:	Taylor & Francis Journals

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010548831