338
Views
4
CrossRef citations to date
0
Altmetric
Original Articles

Purchasing power parity with flexible Fourier stationary test for Central and Eastern European countries

, &
Pages 4249-4256 | Published online: 11 Jul 2011

References

  • Amsler , C and Lee , J . 1995 . An LM test for a unit-root in the presence of a structural change . Econometric Theory , 11 : 359 – 68 .
  • Bai , J and Perron , P . 1998 . Estimating and testing linear models with multiple structural changes . Econometrica , 66 : 47 – 78 .
  • Becker , R , Enders , W and Lee , J . 2004 . A general test for time dependence in parameters . Journal of Applied Econometrics , 19 : 899 – 906 .
  • Becker , R , Enders , W and Lee , J . 2006 . A stationarity test in the presence of an unknown number of smooth breaks . Journal of Time Series Analysis , 27 : 381 – 409 .
  • Bierens , HJ . 1997 . Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate . Journal of Econometrics , 81 : 29 – 64 .
  • Burke , S . 1994 . Confirmatory data analysis: the joint application of stationarity and unit root tests University of Reading 20
  • Chortareas , GE , Kapetanios , G and Shin , Y . 2002 . Nonlinear mean reversion in real exchange rates . Economics Letters , 77 : 411 – 17 .
  • Dickey , DA and Fuller , WA(DF) . 1981 . Likelihood ratio statistics for autoregressive time series with a unit root . Econometrica , 49 : 1057 – 72 .
  • Enders , W and Lee , J . 2004 . Testing for a unit root with a nonlinear Fourier function Working Paper, Department of Economics, Finance and Legal Studies, University of Alabama, Tuscaloosa, AL, USA
  • Enders , W and Lee , J . 2009 . The flexible Fourier form and testing for unit roots: an example of the term structure of interest rates Working Paper, Department of Economics, Finance and Legal Studies, University of Alabama, Tuscaloosa, AL, USA
  • Gallant , R . 1981 . On the basis in flexible functional form and an essentially unbiased form: the flexible Fourier form . Journal of Econometrics , 15 : 211 – 53 .
  • Holmes , M . 2001 . New evidence on real exchange stationarity and purchasing power parity in less developed countries . Journal of Macroeconomics , 23 : 601 – 14 .
  • Kim , D and Perron , P . 2009 . Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses . Journal of Econometrics , 148 : 1 – 13 .
  • Kwiatkowski , D , Phillips , P , Schmidt , P and Shin , Y(KPSS) . 1992 . Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? . Journal of Econometrics , 54 : 159 – 78 .
  • Lee , J and Strazicich , MC . 2001 . Break point estimation and spurious rejections with endogenous unit roots . Oxford Bulletin of Economics and Statistics , 63 : 535 – 58 .
  • Lee , J and Strazicich , MC . 2003 . Minimum Lagrange multiplier unit root test with two structural breaks . The Review of Economics and Statistics , 85 : 1082 – 9 .
  • Leybourne , S , Newbold , P and Vougas , D . 1998 . Unit roots and smooth transitions . Journal of Time Series Analysis , 19 : 83 – 97 .
  • Liu , P . 1992 . Purchasing power parity in Latin America: a cointegration analysis . Weltwirtschaftliches Archiv , 128 : 662 – 80 .
  • Lothian , JR and Taylor , MP . 2000 . Purchasing power parity over two centuries: strengthening the case for real exchange rate stability: a reply to Cuddington and Liang . Journal of International Money and Finance , 19 : 759 – 64 .
  • Lothian , JR and Taylor , MP . 2008 . Real exchange rates over the past two centuries: how important is the Harrod-Balassa-Samuelson effect? . Economic Journal , 118 : 1742 – 63 .
  • MacDonald , R and Taylor , MP . 1992 . Exchange-rate economics: a survey . International Monetary Fund Staff Papers , 39 : 1 – 57 .
  • Maddala , G and Kim , IM . 1998 . Unit Roots, Cointegration and Structural Change , Cambridge : Cambridge University Press .
  • Mahdavi , S and Zhou , S . 1994 . Purchasing power parity in high inflation countries: further evidence . Journal of Macroeconomics , 16 : 403 – 22 .
  • Marcela , S , Gadea , MD and Serrano , JM . 2003 . PPP and structural breaks: the peseta-sterling rate, 50 years of floating regime . Journal of International Money and Finance , 22 : 613 – 27 .
  • Narayan , PK . 2005 . New evidence on purchasing power parity from 17 OECD countries . Applied Economics , 37 : 1063 – 71 .
  • Narayan , PK . 2006 . Are bilateral real exchange rates stationary? Evidence from Lagrange multiplier unit root tests for India . Applied Economics , 38 : 63 – 70 .
  • Narayan , PK and Prasad , BC . 2005 . The validity of purchasing power parity hypothesis for eleven middle eastern countries . Review of Middle East Economics and Finance , 3 : 135 – 49 .
  • Newey , W and West , K . 1987 . A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix . Econometrica , 55 : 703 – 8 .
  • Ng , S and Perron , P . 2001 . Lag length selection and the construction of unit root tests with good size and power . Econometrica , 69 : 1519 – 54 .
  • Nunes , LC , Newbold , P and Kuan , CM . 1997 . Testing for unit roots with breaks: evidence on the great crash and the unit root hypothesis reconsidered . Oxford Bulletin of Economics and Statistics , 59 : 435 – 48 .
  • Pascalau , R . 2010 . Unit root tests with smooth breaks: an application to the Nelson–Plosser data set . Applied Economics Letters , 17 : 565 – 70 .
  • Perron , P . 1989 . The great crash, the oil price shock and the unit root hypothesis . Econometrica , 57 : 1361 – 401 .
  • Phillips , PCB and Perron , P(PP) . 1988 . Testing for a unit root in time series regression . Biometrika , 75 : 335 – 46 .
  • Rogoff , K . 1996 . The purchasing power parity puzzle . Journal of Economic Literature , 34 : 647 – 68 .
  • Sarno , L . 2000 . Real exchange rate behavior in the Middle East: a re-examination . Economics Letters , 66 : 127 – 36 .
  • Sarno , L and Taylor , MP . 2002 . Purchasing power parity and the real exchange rate . IMF Staff Papers , 49 : 65 – 105 .
  • Schmidt , P and Phillips , PCB . 1992 . LM test for a unit root in the presence of deterministic trends . Oxford Bulletin of Economics and Statistics , 54 : 257 – 87 .
  • Taylor , MP . 1995 . The economics of exchange rates . Journal of Economic Literature , 33 : 13 – 47 .
  • Taylor , MP and Peel , DA . 2000 . Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals . Journal of International Money and Finance , 19 : 33 – 53 .
  • Taylor , MP and Sarno , L . 1998 . The behavior of real exchanges during the post-Bretton Woods period . Journal of International Economics , 46 : 281 – 312 .
  • Taylor , AM and Taylor , MP . 2004 . The purchasing power parity debate . Journal of Economic Perspectives , 18 : 135 – 58 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.