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Title:A note on testing for purchasing power parity PDF Logo
Authors:Heinen, Florian
Issue Date:2011
Series/Report no.:Discussion Paper, Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 471
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.
Subjects:Unit roots
Misspecification
Nonlinear data transformation
Purchasing Power Parity
JEL:C12
C22
F31
Document Type:Working Paper
Appears in Collections:Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover

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