Nonlinear threshold unit root test and PPP in transition countries

Collection:
Mokslo publikacijos / Scientific publications
Document Type:
Žurnalų straipsniai / Journal articles
Language:
Anglų kalba / English
Title:
Nonlinear threshold unit root test and PPP in transition countries
Authors:
In the Journal:
Journal of developing areas, 2015, 49, 1, 177-186
Subject Category:
LT
Kipras (Cyprus); Slovėnija (Slovenia); Lietuva (Lithuania); Nacionalinė sąskaityba. Pajamos / National accounts. Income.
Summary / Abstract:

ENThis study applies the threshold autoregressive (TAR) method proposed by Caner and Hansen (2001) to test the validity of long-run purchasing power parity (PPP) in 14 transition countries, using monthly real effective exchange rates over the period January 1994 - June 2012. The empirical results indicate that PPP holds only in five countries (i. e., Cyprus, Lithuania, Latvia, Poland, and Slovenia). Furthermore, we found that the adjustment toward PPP is nonlinear.

DOI:
10.1353/jda.2015.0039
ISSN:
1548-2278; 0022-037X
Subject:
Ekonomika / Economics
Permalink:
https://www.lituanistika.lt/content/75351
Updated:
2026-02-25 13:38:15
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