Testing for purchasing power parity correcting for non-normality using the wild bootstrap

DOI10.1016/J.ECONLET.2006.10.022MaRDI QIDQ1934055zbMATH OpenOpenAlexFDO

Authors Michael G. Arghyrou, Andros Gregoriou

Publication date 28 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2006.10.022

zbMATH Keywords

Dickey-Fullerpurchasing power paritywild bootstrap

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Recommendations

• Revisiting purchasing power parity in BRICS countries using more powerful quantile unit-root tests with stationary covariates
• Investigating nonlinear purchasing power parity during the post-Bretton Woods era -- a Bayesian exponential smooth transition VECM approach
• A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP
• Pairwise Tests of Purchasing Power Parity
• Testing linearity in cointegrating relations with an application to purchasing power parity

Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Statistical analysis of cointegration vectors
• Testing for market efficiency in gambling markets when the errors are non-normal and heteroskedastic an application of the wild bootstrap
• The wild bootstrap, tamed at last

Cited in

(4)

• Contrarian MacParity
• Testing linearity in cointegrating relations with an application to purchasing power parity
• Investigating nonlinear purchasing power parity during the post-Bretton Woods era -- a Bayesian exponential smooth transition VECM approach
• Revisiting purchasing power parity in BRICS countries using more powerful quantile unit-root tests with stationary covariates

This page was built for publication: Testing for purchasing power parity correcting for non-normality using the wild bootstrap

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1934055)