Bayesian and DF-GLS unit root tests of real exchange rates over the current floating period

David Cushman

Economics Bulletin, 2001, vol. 6, issue 1, 1-7

Abstract: In an analysis of purchasing power parity, the Phillips-Ploberger (1994) Bayesian model selection and unit root test procedure is applied to 53 real exchange rates over the current floating exchange rate period. The DF-GLS unit root test of Elliott, Rothenberg, and Stock (1996) is also applied. The Bayesian test provides very little support for the stationarity of the real exchange rates, while the DF-GLS test provides somewhat more support.

Keywords: Bayesian; unit; root; test (search for similar items in EconPapers)
JEL-codes: F3 (search for similar items in EconPapers)
Date: 2001-05-17
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.accessecon.com/pubs/EB/2001/Volume6/EB-01F30001A.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-01f30001

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().