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dc.contributor.authorHaug, Alfred A.en_NZ
dc.contributor.authorBasher, Syed Abulen_NZ
dc.date.available2011-04-07T03:05:18Z
dc.date.copyright2007-08-01en_NZ
dc.identifier.citationHaug, A. A., & Basher, S. A. (2007). Linear or Nonlinear Cointegration in the Purchasing Power Parity Relationship? (Economics Discussion Papers Series No. 712). Department of Economics, University of Otago. Retrieved from http://hdl.handle.net/10523/867en
dc.identifier.urihttp://hdl.handle.net/10523/867
dc.description.abstractWe test long-run PPP within a general model of cointegration of linear and nonlinear form. Nonlinear cointegration is tested with rank tests of Breitung (2001). We determine first the order of integration of each variable, using monthly data from the post-Bretton Woods era for G-10 countries. In many cases prices are I(2), whereas all exchange rates are I(1). However, there are several countries that have a price level that linearly cointegrates with the US price level so that this combination is I(1). Overall, we find some, though limited, evidence for nonlinear and also linear cointegration in the PPP model.en_NZ
dc.format.mimetypeapplication/pdf
dc.publisherDepartment of Economics, University of Otagoen_NZ
dc.relation.ispartofseriesEconomics Discussion Papers Seriesen_NZ
dc.relation.urihttp://www.business.otago.ac.nz/econ/research/discussionpapers/index.htmlen_NZ
dc.subjectPPP; order of integration; nonlinear cointegration.en_NZ
dc.subject.lcshHB Economic Theoryen_NZ
dc.titleLinear or Nonlinear Cointegration in the Purchasing Power Parity Relationship?en_NZ
dc.typeDiscussion Paperen_NZ
dc.description.versionPublisheden_NZ
otago.bitstream.pages23en_NZ
otago.date.accession2010-06-11 02:28:26en_NZ
otago.schoolDepartment of Economicsen_NZ
otago.openaccessOpen
otago.place.publicationDunedin, New Zealanden_NZ
dc.identifier.eprints915en_NZ
otago.school.eprintsEconomicsen_NZ
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