PPP in the 34 OECD countries: evidence from quantile-based unit root tests with both smooth and sharp breaks

C-Tier
Journal: Applied Economics
Year: 2018
Volume: 50
Issue: 23
Pages: 2622-2634

Authors (2)

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

Conventional unit root tests have mostly failed to validate the PPP. Quantile-based unit root tests by previous research have provided some support for the PPP. In this article, we take an additional step and incorporate sharp shifts and smooth breaks into the quantile-based unit root test and re-examine the PPP in each of the 34 OECD countries over the period 1994:01–2016:03. We find support for the PPP in 18 countries of Austria, Chile, Estonia, Finland, France, Germany, Italy, Korea, Mexico, Netherlands, New Zealand, Poland, Portugal, Slovenia, Sweden, Switzerland, Turkey and the United Kingdom.

Technical Details

RePEc Handle
repec:taf:applec:v:50:y:2018:i:23:p:2622-2634
Journal Field
General
Author Count
2
Added to Database
2026-01-24