Investigating nonlinear purchasing power parity during the post-Bretton Woods era -- a Bayesian exponential smooth transition VECM approach

DOI10.1016/S0731-9053(08)23014-8zbMATH Open1189.91160MaRDI QIDQ3572035FDOQ3572035

Authors: Deborah Gefang 

Publication date: 30 June 2010

Published in: Bayesian Econometrics (Search for Journal in Brave)

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Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Economic time series analysis (91B84)

Cited In (4)

• TESTING PPP BY MEANS OF ZNZ PATTERNED VECM
• Testing for purchasing power parity correcting for non-normality using the wild bootstrap
• Revisiting purchasing power parity in BRICS countries using more powerful quantile unit-root tests with stationary covariates
• Nonlinear PPP deviations: a Monte Carlo investigation of their unconditional half-life

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