Non-linearity versus non-normality in real exchange rate dynamics

Michael Arghyrou and Andros Gregoriou ()

Economics Letters, 2008, vol. 100, issue 2, 200-203

Abstract: We distinguish non-normality from non-linearity in G7 real exchange rate dynamics by correcting the critical values of the Kapetanios et al. [Kapetanios, G., Shin, Y., Snell, A., 2003. Testing for a unit root in the non-linear STAR framework. Journal of Econometrics, 112, 359-379] test for non-normality using the wild bootstrap. Our findings validate non-linear Purchasing Power Parity net of non-normality effects.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:100:y:2008:i:2:p:200-203

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