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Purchasing power parity in OECD countries: nonlinear unit root tests revisited

Purchasing power parity in OECD countries: nonlinear unit root tests revisited
Purchasing power parity in OECD countries: nonlinear unit root tests revisited

The aim of this paper is to provide additional evidence on the purchasing power parity empirical fulfilment in a pool of OECD countries. We apply the Harvey et al. (2008) linearity test and the Kruse (2011) nonlinear unit root test. The results point to the fact that the purchasing power parity theory holds in a greater number of countries than has been reported in previous studies.

Nonlinearities, Purchasing power parity, Real exchange rates, Unit root tests
0264-9993
343-346
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 (2013) Purchasing power parity in OECD countries: nonlinear unit root tests revisited. Economic Modelling, 32 (1), 343-346. (doi:10.1016/j.econmod.2013.01.035).

Record type: Article

Abstract

The aim of this paper is to provide additional evidence on the purchasing power parity empirical fulfilment in a pool of OECD countries. We apply the Harvey et al. (2008) linearity test and the Kruse (2011) nonlinear unit root test. The results point to the fact that the purchasing power parity theory holds in a greater number of countries than has been reported in previous studies.

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More information

Published date: 1 May 2013
Keywords: Nonlinearities, Purchasing power parity, Real exchange rates, Unit root tests

Identifiers

Local EPrints ID: 441139
URI: http://eprints.soton.ac.uk/id/eprint/441139
DOI: doi:10.1016/j.econmod.2013.01.035
ISSN: 0264-9993
PURE UUID: 247b2a96-9712-4963-bbf1-191ef646b1f0
ORCID for Paulo José Regis: ORCID iD orcid.org/0000-0002-3256-464X

Catalogue record

Date deposited: 02 Jun 2020 16:32
Last modified: 18 Mar 2024 03:52

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Contributors

Author: Juan Carlos Cuestas
Author: Paulo José Regis ORCID iD

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