Arbeitspapier
A note on testing for purchasing power parity
We examine the asymptotic behavior of unit root tests against nonlinear alternatives of the exponential smooth transition type if the data is erroneously nonlinearly transformed. We show analytically and by a Monte Carlo study that the probability of rejecting the correct null of a random walk depends heavily on the type of data transformation.
- Language
-
Englisch
- Bibliographic citation
-
Series: Diskussionsbeitrag ; No. 471
- Classification
-
Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Foreign Exchange
- Subject
-
Unit roots
Misspecification
Nonlinear data transformation
Purchasing Power Parity
Kaufkraftparität
Kointegration
Modellierung
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Heinen, Florian
- Event
-
Veröffentlichung
- (who)
-
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (where)
-
Hannover
- (when)
-
2011
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Heinen, Florian
- Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Time of origin
- 2011
Other Objects (12)
Testing for Purchasing Power Parity in Cointegrated Panels
World-Wide Purchasing Power Parity
The purchasing power parity debate
Testing the purchasing power parity hypothesis: Case of ASEAN economies
Some evidence of purchasing power parity
Testing Purchasing Power Parity in Transition Countries: Evidence from Structural Breaks
Argentinean real exchange rate 1900 - 2006: Testing purchasing power parity theory
Purchasing power parity and interest parity in the laboratory
Testing in nonstationary and dependent panels with applications to purchasing power parity
Testing the Purchasing Power Parity in Pooled Systems of Error Correction Models
Testing for Purchasing Power Parity and Interest Rate Parities on Norwegian Data
Testing the purchasing power parity in pooled systems of error correction models
Testing for Purchasing Power Parity in Cointegrated Panels
World-Wide Purchasing Power Parity
The purchasing power parity debate
Testing the purchasing power parity hypothesis: Case of ASEAN economies
Some evidence of purchasing power parity
Testing Purchasing Power Parity in Transition Countries: Evidence from Structural Breaks
Argentinean real exchange rate 1900 - 2006: Testing purchasing power parity theory
Purchasing power parity and interest parity in the laboratory
Testing in nonstationary and dependent panels with applications to purchasing power parity
Testing the Purchasing Power Parity in Pooled Systems of Error Correction Models
Testing for Purchasing Power Parity and Interest Rate Parities on Norwegian Data
Testing the purchasing power parity in pooled systems of error correction models
Testing for Purchasing Power Parity in Cointegrated Panels
World-Wide Purchasing Power Parity
The purchasing power parity debate
Testing the purchasing power parity hypothesis: Case of ASEAN economies
Some evidence of purchasing power parity
Testing Purchasing Power Parity in Transition Countries: Evidence from Structural Breaks
Argentinean real exchange rate 1900 - 2006: Testing purchasing power parity theory
Purchasing power parity and interest parity in the laboratory
Testing in nonstationary and dependent panels with applications to purchasing power parity
Testing the Purchasing Power Parity in Pooled Systems of Error Correction Models
Testing for Purchasing Power Parity and Interest Rate Parities on Norwegian Data