Non-normality and recursive unit root test for PPP: Solving the PPP puzzle?

Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/1039

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DC Field	Value	Language
dc.contributor.author	Caporale, GM	-
dc.contributor.author	Gregoriou, A	-
dc.coverage.spatial	8	en
dc.date.accessioned	2007-07-06T15:52:05Z	-
dc.date.available	2007-07-06T15:52:05Z	-
dc.date.issued	2007	-
dc.identifier.citation	Economics and Finance Working papers, Brunel University, 07-08	en
dc.identifier.uri	http://bura.brunel.ac.uk/handle/2438/1039	-
dc.description.abstract	In 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.extent	144949 bytes	-
dc.format.mimetype	application/pdf	-
dc.language.iso	en	-
dc.publisher	Brunel University	en
dc.subject	Purchasing Power Parity (PPP), Real Exchange Rate, Unit Roots, Non-	en
dc.subject	Normality, Wild Bootstrap	en
dc.title	Non-normality and recursive unit root test for PPP: Solving the PPP puzzle?	en
dc.type	Research Paper	en
Appears in Collections:	Economics and Finance Dept of Economics and Finance Research Papers

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