|
EconStor >
Leibniz Universität Hannover >
Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/66029
|
| | |
| Title: | | A note on testing for purchasing power parity  |
| 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
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/66029
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|