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

CUESTAS, J.C. and REGIS, P.J., 2008. Testing for PPP in Australia: evidence from unit root tests against nonlinear trend stationarity alternatives. Economics Bulletin, 3 (27), pp. 1-9.

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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.

Item Type: Journal article
Publication Title: Economics Bulletin
Creators: Cuestas, J.C. and Regis, P.J.
Publisher: Economics Bulletin
Date: 2008
Volume: 3
Number: 27
Divisions: Schools > Nottingham Business School
Depositing User: EPrints Services
Date Added: 09 Oct 2015 10:31
Last Modified: 19 Oct 2015 14:33
URI: http://irep.ntu.ac.uk/id/eprint/14101

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