Temporal aggregation and purchasing power parity persistence
โ Scribed by Yamin Ahmad; William D. Craighead
- Book ID
- 116659129
- Publisher
- Elsevier Science
- Year
- 2011
- Tongue
- English
- Weight
- 464 KB
- Volume
- 30
- Category
- Article
- ISSN
- 0261-5606
No coin nor oath required. For personal study only.
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## Abstract Nonlinear models of deviations from PPP have recently provided an important, theoretically well motivated, contribution to the PPP puzzle. Most of these studies use temporally aggregated data to empirically estimate the nonlinear models. As noted by Taylor (2001), if the true DGP is non
Several recent studies have found evidence of purchasing power parity by using long time series of data to combat the low power of unit root tests. The ability to reject unit roots in real exchange rates, however, only implies that PPP holds in the absence of structural change. We test for multiple