Non-linearity versus non-normality in real exchange rate dynamics

Arghyrou, Michael Georgiou ORCID: https://orcid.org/0000-0001-6222-5086 and Gregoriou, Andros 2008. Non-linearity versus non-normality in real exchange rate dynamics. Economics Letters 100 (2) , pp. 200-203. 10.1016/j.econlet.2008.01.010

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Abstract

We distinguish non-normality from non-linearity in G7 real exchange rate dynamics by correcting the critical values of the Kapetanios et al. [Kapetanios, G., Shin, Y., Snell, A., 2003. Testing for a unit root in the non-linear STAR framework. Journal of Econometrics, 112, 359–379] test for non-normality using the wild bootstrap. Our findings validate non-linear Purchasing Power Parity net of non-normality effects.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory Q Science > QA Mathematics
Uncontrolled Keywords:	Purchasing Power Parity ; Non-normality ; Non-linearity ; Wild bootstrap
Publisher:	Elsevier
ISSN:	0165-1765
Last Modified:	19 Oct 2022 08:58
URI:	https://orca.cardiff.ac.uk/id/eprint/19636

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