A note on testing for purchasing power parity
Autor: Heinen, Florian
Nummer: 471, May 2011, pp. 17
JEL-Class: C12, C22, F31
Abstract:
We examine the asymptotic behavior of unit root tests against nonlinear alternatives of the exponential smooth transition type if the data is erroneously nonlinearly transformed. We show analytically and by a Monte Carlo study that the probability of rejecting the correct null of a random walk depends heavily on the type of data transformation.
Zusammenfassung:
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