Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/1039
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dc.contributor.authorCaporale, GM-
dc.contributor.authorGregoriou, A-
dc.coverage.spatial8en
dc.date.accessioned2007-07-06T15:52:05Z-
dc.date.available2007-07-06T15:52:05Z-
dc.date.issued2007-
dc.identifier.citationEconomics and Finance Working papers, Brunel University, 07-08en
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/1039-
dc.description.abstractIn this paper we carry out unit root tests on real exchange rates recursively as in Caporale et al (2003), but, following Arghyrou and Gregoriou (2007), we adjust the residuals for non-normality using a wild bootstrap method. The results are striking: the correction for non-normality dramatically increases the rejection percentages of the unit root null, and attenuates the erratic behaviour of the t-statistic, thus providing strong evidence in favour of PPP, and suggesting that such a correction might at least go some way towards solving the “PPP puzzle”.en
dc.format.extent144949 bytes-
dc.format.mimetypeapplication/pdf-
dc.language.isoen-
dc.publisherBrunel Universityen
dc.subjectPurchasing Power Parity (PPP), Real Exchange Rate, Unit Roots, Non-en
dc.subjectNormality, Wild Bootstrapen
dc.titleNon-normality and recursive unit root test for PPP: Solving the PPP puzzle?en
dc.typeResearch Paperen
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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