Testing for PPP in Australia: evidence from unit root tests against nonlinear trend stationarity alternatives

The aim of this paper is to analyse the empirical fulfilment of the PPP in Australia (1977-2004). Previous research focuses on the presence of structural breaks and fails to find any support to the PPP (Darne and Hoarau, 2008, Henry and Olekalns, 2002). In contrast, we find that the PPP hypothesis holds once we account for a more general specification of the Nonlinear Deterministic components based on a Chebishev polynomials approximation.

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Year of publication:	2008-02
Authors:	Cuestas, Juan Carlos ; Regis, Paulo Jose
Institutions:	Nottingham Trent University, Nottingham Business School, Economics Division
Subject:	PPP \| Real exchange rates \| Unit roots \| nonlinearities

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C32 - Time-Series Models ; F15 - Economic Integration
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004980091