Purchasing power parity nonlinear threshold unit root test for East-Asian countries

Tsangyao Chang, Chi-Wei Su and Chia-Hao Lee

Applied Economics Letters, 2012, vol. 19, issue 10, 975-979

Abstract: This study applies the Threshold Autoregressive (TAR) model proposed by Caner and Hansen (2001) to test the validity of long-run Purchasing Power Parity (PPP) of nine East-Asian countries over the period January 1986 to October 2009. The empirical results indicated that PPP holds true for more than half of these nine East-Asian countries under study, and the adjustment towards PPP is found to be nonlinear.

Date: 2012
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DOI: 10.1080/13504851.2011.608641

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