Testing for PPP in Australia: evidence from unit root tests against nonlinear trend stationarity alternatives
Juan Cuestas and
NBS Discussion Papers in Economics from Economics, Nottingham Business School, Nottingham Trent University
The aim of this paper is to analyse the empirical fulfilment of the PPP in Australia (1977-2004). Previous research focuses on the presence of structural breaks and fails to find any support to the PPP (Darne and Hoarau, 2008, Henry and Olekalns, 2002). In contrast, we find that the PPP hypothesis holds once we account for a more general specification of the Nonlinear Deterministic components based on a Chebishev polynomials approximation.
Keywords: PPP; Real exchange rates; Unit roots; nonlinearities (search for similar items in EconPapers)
JEL-codes: C32 F15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ifn and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
http://www.ntu.ac.uk/__data/assets/pdf_file/0008/3 ... e-from-unit-root.pdf First version, 2008 (application/pdf)
Journal Article: Testing for PPP in Australia: Evidence from unit root test against nonlinear trend stationarity alternatives (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:nbs:wpaper:2008/3
Access Statistics for this paper
More papers in NBS Discussion Papers in Economics from Economics, Nottingham Business School, Nottingham Trent University
Bibliographic data for series maintained by King Lim ().