@techreport{Heinen2011note,
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.},
address = {Hannover},
author = {Florian Heinen},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C12; C22; F31; 330; Unit roots; Misspecification; Nonlinear data transformation; Purchasing Power Parity; Kaufkraftparit\"{a}t; Kointegration; Modellierung; Theorie},
language = {eng},
number = {471},
publisher = {Wirtschaftswiss. Fak., Leibniz Univ.},
title = {A note on testing for purchasing power parity},
type = {Discussion Paper, Wirtschaftswissenschaftliche Fakult\"{a}t, Leibniz Universit\"{a}t Hannover},
url = {http://hdl.handle.net/10419/66029},
year = {2011}
}
