Testing for stationarity using covariates: an application to purchasing power parity

被引：1

作者：

Amara, Jomana ^{[1
]}

机构：

[1] USN, Def Resources Management Inst, Postgrad Sch, Monterey, CA 93943 USA

来源：

APPLIED ECONOMICS LETTERS | 2011年 / 18卷 / 13-15期

关键词：

UNIT-ROOT; NULL HYPOTHESIS; EXCHANGE-RATES;

D O I：

10.1080/13504851.2010.534059

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We examine the evidence for Purchasing Power Parity (PPP) using post-Bretton Woods exchange rate data for 20 industrialized countries. The two tests used are the covariate tests for stationarity where the null hypothesis of stationarity is tested against the unit root alternative. These tests are generalizations of existing univariate stationarity tests and improve the power of univariate tests by utilizing the information contained in related stationary covariates. We conclude that PPP holds for 17 out of the 20 countries tested.

引用

页码：1295 / 1301

页数：7

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