haku: @author Kilian, L. / yhteensä: 5
viite: 4 / 5
| Tekijä: | Caner, M. Kilian, L. |
| Otsikko: | Size distortions of tests of the null hypothesis of stationary: evidence and implications for the PPP debate |
| Lehti: | Journal of International Money and Finance
2001 : OCT, VOL. 20:5, p. 639-657 |
| Asiasana: | EXCHANGE RATES PURCHASING POWER PARITY |
| Vapaa asiasana: | STATIONARITY |
| Kieli: | eng |
| Tiivistelmä: | Tests of the null hypothesis of stationarity against the unit root alternative play an increasingly important role in empirical work in macroeconomics and in international finance. The authors show that the use of conventional asymptotic critical values for stationarity tests may cause extreme size distortions, if the model under the null hypothesis is highly persistent. This fact calls into question the use of these tests in empirical work. The authors illustrate the practical importance of this point for tests of long-run purchasing power parity (PPP) under the recent float. |
SCIMA