Purchasing Power Parity with Nonlinear Threshold Unit Root Test

機構典藏 > College of Business and Management > Graduate Institute & Department of International Business > Journal Article > Item 987654321/54883

Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/54883

Title:	Purchasing Power Parity with Nonlinear Threshold Unit Root Test
Authors:	Chang, Tsang-yao;Su, Chi-wei;Liu, Yu-shao
Contributors:	淡江大學國際貿易學系暨國際企業研究所
Date:	2011
Issue Date:	2011-07-28 00:49:58 (UTC+8)
Publisher:	Taylor & Francis
Abstract:	This study applies a simple and powerful nonlinear threshold unit root test proposed by Caner and Hansen (2001 Caner, M. and Hansen, B. 2001. Threshold autoregression with a unit root. Econometrica, 69: 1555–96. [Crossref], [Web of Science ®], , [Google Scholar] ) to test the validity of long-run Purchasing Power Parity (PPP) in a sample of nine East Asian countries. The empirical results indicate that PPP holds true for more than half of these nine East Asian countries under study, and the adjustment towards PPP is found to be nonlinear.
Relation:	Applied Economics Letters 19(9), pp.839-842
DOI:	10.1080/13504851.2011.607110
Appears in Collections:	[Graduate Institute & Department of International Business] Journal Article

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML	153	View/Open
Purchasing Power Parity with Nonlinear Threshold Unit Root Test.pdf		195Kb	Adobe PDF	1	View/Open