The process followed by ppp data. on the properties of linearity tests

  1. Peel, David A.
  2. Payá Sastre, Iván
Revista:
Working papers = Documentos de trabajo: Serie AD

Any de publicació: 2005

Número: 23

Tipus: Document de treball

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Resum

Recent research has reported the lack of correct size in stationarity test for PPP deviations within a linear framework. However, theoretically well motivated nonlinear models, such as the ESTAR, appear to parsimoniously fit the PPP data and provide an explanation for the PPP ¿puzzle¿. Employing Monte Carlo experiments we analyze the size and power of the nonlinear tests against a variety of nonstationary hypotheses. We also fit the ESTAR model to data from high inflation economies. Our results provide further support for ESTAR specification.

Fuente de los datos: Dialnet