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

Juan Carlos Cuestas; Paulo José Regis

doi:10.1016/j.econmod.2013.01.035

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

Juan Carlos Cuestas^*, Paulo José Regis

^*Corresponding author for this work

International Business School Suzhou

University of Sheffield

Research output: Contribution to journal › Article › peer-review

20 Citations (Scopus)

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.

Original language	English
Pages (from-to)	343-346
Number of pages	4
Journal	Economic Modelling
Volume	32
Issue number	1
DOIs	https://doi.org/10.1016/j.econmod.2013.01.035
Publication status	Published - May 2013

Keywords

Nonlinearities
Purchasing power parity
Real exchange rates
Unit root tests

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10.1016/j.econmod.2013.01.035

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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.",

keywords = "Nonlinearities, Purchasing power parity, Real exchange rates, Unit root tests",

author = "Cuestas, {Juan Carlos} and Regis, {Paulo Jos{\'e}}",

note = "Funding Information: Comments from three anonymous referees and the editor on a previous draft are gratefully acknowledged. The usual disclaimer applies. Juan Carlos Cuestas acknowledges the MICINN (Ministerio de Ciencia e Innovaci{\'o}n, Spain) research grant ECO2011-30260-C03-01 .",

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N2 - 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.

AB - 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.

KW - Nonlinearities

KW - Purchasing power parity

KW - Real exchange rates

KW - Unit root tests

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

Abstract

Keywords

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