Template-Type: ReDIF-Paper 1.0
Author-Name: Juan Carlos Cuestas
Author-Name: Paulo Jose Regis
Title: Testing for PPP in Australia: evidence from unit root tests against nonlinear trend stationarity alternatives
Abstract: The aim of this paper is to analyse the empirical fulfilment of
the PPP in Australia (1977-2004). Previous research focuses on the
presence of structural breaks and fails to find any support to the PPP
(Darne and Hoarau, 2008, Henry and Olekalns, 2002). In contrast,
we find that the PPP hypothesis holds once we account for a more
general specification of the Nonlinear Deterministic components based
on a Chebishev polynomials approximation.
File-URL: http://www.ntu.ac.uk/__data/assets/pdf_file/0008/310202/Testing-for-PPP-in-Australia-evidence-from-unit-root.pdf
File-Format: Application/pdf
File-Function: First version, 2008
Creation-Date:  2008-02
Classification-JEL: C32, F15
Keywords: PPP, Real exchange rates, Unit roots, nonlinearities
Handle: RePEc:nbs:wpaper:2008/3