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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Diskussionsbeitrag ; No. 471
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Foreign Exchange
- Thema
-
Unit roots
Misspecification
Nonlinear data transformation
Purchasing Power Parity
Kaufkraftparität
Kointegration
Modellierung
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Heinen, Florian
- Ereignis
-
Veröffentlichung
- (wer)
-
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (wo)
-
Hannover
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Heinen, Florian
- Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Entstanden
- 2011
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