PPP in emerging markets: evidence from Fourier non-linear quantile unit root analysis
| Autor: | Mehmet Altuntaş, Saban Nazlioglu, Emre Kiliç |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
quantile unit root
Economics and Econometrics emerging markets 050208 finance PPP 05 social sciences nonlinearity smooth breaks Nonlinear system symbols.namesake Fourier transform Unit root test 0502 economics and business Econometrics symbols Unit root 050207 economics Emerging markets Mathematics Quantile |
| Zdroj: | Applied Economics Letters. 29:731-737 |
| ISSN: | 1466-4291 1350-4851 |
| DOI: | 10.1080/13504851.2021.1884834 |
| Popis: | We test PPP in 27 emerging markets by using new Fourier non-linear quantile unit root test. Conventional unit root tests support PPP at most in half of the countries. Fourier non-linear quantile unit root test reinforces PPP in 26 out 27 countries, providing a fresh evidence for solving the PPP puzzle in the case of emerging markets. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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