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https://hdl.handle.net/10419/66029
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Heinen, Florian | en |
dc.date.accessioned | 2011-05-26 | - |
dc.date.accessioned | 2012-11-06T15:27:32Z | - |
dc.date.available | 2012-11-06T15:27:32Z | - |
dc.date.issued | 2011 | - |
dc.identifier.uri | http://hdl.handle.net/10419/66029 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aLeibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät |cHannover | en |
dc.relation.ispartofseries | |aDiskussionsbeitrag |x471 | en |
dc.subject.jel | C12 | en |
dc.subject.jel | C22 | en |
dc.subject.jel | F31 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Unit roots | en |
dc.subject.keyword | Misspecification | en |
dc.subject.keyword | Nonlinear data transformation | en |
dc.subject.keyword | Purchasing Power Parity | en |
dc.subject.stw | Kaufkraftparität | en |
dc.subject.stw | Kointegration | en |
dc.subject.stw | Modellierung | en |
dc.subject.stw | Theorie | en |
dc.title | A note on testing for purchasing power parity | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 660708973 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:han:dpaper:dp-471 | en |
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