Fourier nonlinear quantile unit root test and PPP in africa

被引：19

作者：

Bahmani-Oskooee, Mohsen ^{[1
,2
]}

Chang, Tsangyao ^{[3
]}

Niroomand, Farhang ^{[4
]}

Ranjbar, Omid ^{[5
]}

机构：

[1] Univ Wisconsin, Ctr Res Int Econ, Milwaukee, WI 53201 USA

[2] Univ Wisconsin, Dept Econ, Milwaukee, WI 53201 USA

[3] Feng Chia Univ, Dept Finance, Taichung, Taiwan

[4] Univ Huston Victoria, Sch Business Adm, Victoria, TX 77901 USA

[5] Allameh Tabatabai Univ, Dept Econ, Trade Promot Org Iran, Tehran, Iran

来源：

BULLETIN OF ECONOMIC RESEARCH | 2020年 / 72卷 / 04期

关键词：

Fourier function; nonlinearity; Purchasing Power Parity; quantile unit root test; smooth breaks; PURCHASING POWER PARITY; EFFECTIVE EXCHANGE-RATES; COUNTRIES EVIDENCE; TIME-SERIES; REAL; STATIONARITY; HOLD;

D O I：

10.1111/boer.12230

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We test the PPP hypothesis in 29 African countries using a newly developed nonlinear Quantile unit root test with a Fourier function which accounts for smooth breaks. Simulation indicates that the proposed new test has higher power than the conventional Quantile unit root test as proposed by Koneker and Xiao (2004). Our empirical results provide support for the PPP hypothesis in 21 out of 29 African countries, a unique discovery using their real effective exchange rates. It appears that incorporating Fourier function to nonlinear Quantile unit root test gets us closer and closer to solving the PPP puzzle in Africa.

引用

页码：451 / 481

页数：31

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