Evidence on PPP from Middle Income Countries in the Nonlinear STAR Framework

Shabbir Ahmad

The IUP Journal of Monetary Economics, 2010, vol. VIII, issue 4, 75-78

Abstract: This study uses the standard Augmented Dickey-Fuller (ADF) linear test and a new nonlinear test to model the behavior of Real Effective Exchange Rate (REER) for five middle income economies and an oil-producing country. Using monthly data from 1982M1 to 2006M1, the estimation results indicate that the new nonlinear test is more successful in detecting the existence of multi-country Purchasing Power Parity (PPP) than ADF test.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjmo:v:08:y:2010:i:3:p:75-78

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