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Testing for PPP in Australia: Evidence from unit root test against nonlinear trend stationary alternatives

Testing for PPP in Australia: Evidence from unit root test against nonlinear trend stationary alternatives
Testing for PPP in Australia: Evidence from unit root test against nonlinear trend stationary alternatives

This paper tests for the empirical fulfilment of PPP in Australia (1977-2004). Previous research focuses on the presence of structural breaks and fails to find any support for PPP (Darne and Hoarau, 2008, Henry and Olekalns, 2002). In contrast, we find that the real exchange rate is stationary once we account for a more general specification of the nonlinear deterministic components based on a Chebishev polynomials approximation.

1545-2921
Cuestas, Juan Carlos
e21c853f-d345-45d1-9a3c-40ef510a1e5f
Regis, Paulo José
d696452e-72ef-48bc-9409-80996e297ca7
Cuestas, Juan Carlos
e21c853f-d345-45d1-9a3c-40ef510a1e5f
Regis, Paulo José
d696452e-72ef-48bc-9409-80996e297ca7

Cuestas, Juan Carlos and Regis, Paulo José (2008) Testing for PPP in Australia: Evidence from unit root test against nonlinear trend stationary alternatives. Economics Bulletin, 3 (27).

Record type: Article

Abstract

This paper tests for the empirical fulfilment of PPP in Australia (1977-2004). Previous research focuses on the presence of structural breaks and fails to find any support for PPP (Darne and Hoarau, 2008, Henry and Olekalns, 2002). In contrast, we find that the real exchange rate is stationary once we account for a more general specification of the nonlinear deterministic components based on a Chebishev polynomials approximation.

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Published date: 16 May 2008

Identifiers

Local EPrints ID: 439269
URI: http://eprints.soton.ac.uk/id/eprint/439269
ISSN: 1545-2921
PURE UUID: 14cb377a-bbe4-4606-a025-203f5beb5c49
ORCID for Paulo José Regis: ORCID iD orcid.org/0000-0002-3256-464X

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Date deposited: 07 Apr 2020 16:31
Last modified: 08 Jan 2022 03:39

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Contributors

Author: Juan Carlos Cuestas

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