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Testing for Purchasing Power Parity correcting for non-normality using the wild bootstrap

Arghyrou, Michael Georgiou and Gregoriou, Andros 2007. Testing for Purchasing Power Parity correcting for non-normality using the wild bootstrap. Economics Letters 95 (2) , pp. 285-290. 10.1016/j.econlet.2006.10.022

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Abstract

We test for Purchasing Power Parity (PPP) in the G7 area for the post-Bretton Woods period. Unlike previous studies, we correct the critical values of the standard unit root test using a wild bootstrap technique. Our findings reject PPP, thus enhancing the contribution of the recent non-linear PPP literature.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Uncontrolled Keywords: Purchasing Power Parity; Dickey–Fuller; Wild bootstrap
ISSN: 01651765
Last Modified: 04 Jun 2017 01:46
URI: http://orca.cf.ac.uk/id/eprint/2518

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