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THE PROCESS FOLLOWED BY PPP DATA. ON THE PROPERTIES OF LINEARITY TESTS [PDF]

open access: yes
Recent research has reported the lack of correct size in stationarity test for PPP deviations within a linear framework. However, theoretically well motivated nonlinear models, such as the ESTAR, appear to parsimoniously fit the PPP data and provide an ...
Ivan Paya, David A. Peel
core  

NONLINEAR PPP UNDER THE GOLD STANDARD [PDF]

open access: yes
Hegwood and Papell (2002) conclude on the basis of analysis in a linear framework that long-run purchasing power parity (PPP)\ does not hold for sixteen real exchange rate series, analyzed in Diebold, Husted, and Rush (1991) for the period 1792-1913 ...
Ivan Paya, David A. Peel
core  

Nonlinear unit root tests of PPP using long-horizon data [PDF]

open access: yes
The Kapetanios, Shin, and Snell (KSS, 2003) test for a nonlinear unit root is used to study purchasing power parity using Taylor's extensive data set, d to include recent exchange rate and price level data.
Frederick Wallace
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