Testing for PPP: the erratic behaviour of unit root tests

DOI10.1016/S0165-1765(03)00090-9zbMath1254.91569OpenAlexW2037757027MaRDI QIDQ1927348

Guglielmo Maria Caporale, Nikitas Pittis, Panayiotis Sakellis

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(03)00090-9

zbMATH Keywords

stationarityreal exchange rateunit rootsparameter instabilitypurchasing power parity (PPP)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (1)

The density of bounded diffusions

Cites Work

• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Conditional Heteroscedastic Time Series Models
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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