The process followed by PPP data. On the properties of linearity tests

C-Tier
Journal: Applied Economics
Year: 2005
Volume: 37
Issue: 21
Pages: 2515-2522

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Recent research has reported the lack of correct size in stationarity test for PPP deviations within a linear framework. However, theoretically well motivated non-linear models, such as the ESTAR, appear to parsimoniously fit the PPP data and provide an explanation for the PPP 'puzzle'. Employing Monte Carlo experiments the size and power of the non-linear tests are analysed against a variety of nonstationary hypotheses. Aslo the ESTAR model is fitted to data from high inflation economies. The results provide further support for ESTAR specification.

Technical Details

RePEc Handle
repec:taf:applec:v:37:y:2005:i:21:p:2515-2522
Journal Field
General
Author Count
2
Added to Database
2026-01-28