Nonlinear unit root tests of PPP using long-horizon data

Frederick Wallace ()

Economics Bulletin, 2008, vol. 6, issue 33, pages 1-8

Abstract: 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, updated to include recent exchange rate and price level data. The results i) indicate that PPP holds with respect to the US dollar for most countries and ii) are more supportive of PPP than those from standard linear unit root tests.

Keywords: nonlinear unit root; purchasing power parity (search for similar items in EconPapers)
JEL-codes: F3 C2 (search for similar items in EconPapers)
Date: 2008 Written
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