Testing for purchasing power parity correcting for non-normality using the wild bootstrap

DOI10.1016/j.econlet.2006.10.022zbMath1255.91345OpenAlexW1988480776MaRDI QIDQ1934055

Andros Gregoriou, Michael G. Arghyrou

Publication date: 28 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.10.022

zbMATH Keywords

purchasing power paritywild bootstrapDickey-Fuller

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• The wild bootstrap, tamed at last
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Statistical analysis of cointegration vectors
• Testing for market efficiency in gambling markets when the errors are non-normal and heteroskedastic an application of the wild bootstrap
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root