Arghyrou, Michael Georgiou  ORCID: https://orcid.org/0000-0001-6222-5086 and Gregoriou, Andros
2007.
Testing for Purchasing Power Parity correcting for non-normality using the wild bootstrap.
Economics Letters
95
(2)
, pp. 285-290.
10.1016/j.econlet.2006.10.022
|
Abstract
We test for Purchasing Power Parity (PPP) in the G7 area for the post-Bretton Woods period. Unlike previous studies, we correct the critical values of the standard unit root test using a wild bootstrap technique. Our findings reject PPP, thus enhancing the contribution of the recent non-linear PPP literature.
| Item Type: | Article |
|---|---|
| Date Type: | Publication |
| Status: | Published |
| Schools: | Schools > Business (Including Economics) |
| Uncontrolled Keywords: | Purchasing Power Parity; Dickey–Fuller; Wild bootstrap |
| ISSN: | 01651765 |
| Last Modified: | 17 Oct 2022 09:14 |
| URI: | https://orca.cardiff.ac.uk/id/eprint/2518 |
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