{"title":"The Fourier Quantile Unit Root Test with an Application to the PPP Hypothesis in the OECD","authors":"Mohsen Bahmani‐Oskooee, T. Chang, O. Ranjbar","doi":"10.3790/AEQ.63.3.295","DOIUrl":null,"url":null,"abstract":"With the introduction of new unit root tests, old theories receive a renewed attention. Quantile unit root test and Purchasing Power Parity (PPP) is no exception. However, we take an additional step and combine the quantile unit root test with smooth unknown multiple breaks through a Fourier expansion and test the PPP hypothesis in each of the 23 OECD countries. The new test yields support for the PPP in most countries in the sample, bringing us closer to solving the PPP puzzle.","PeriodicalId":36978,"journal":{"name":"Applied Economics Quarterly","volume":"63 1","pages":"295-317"},"PeriodicalIF":0.0000,"publicationDate":"2017-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"23","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applied Economics Quarterly","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3790/AEQ.63.3.295","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
引用次数: 23
Abstract
With the introduction of new unit root tests, old theories receive a renewed attention. Quantile unit root test and Purchasing Power Parity (PPP) is no exception. However, we take an additional step and combine the quantile unit root test with smooth unknown multiple breaks through a Fourier expansion and test the PPP hypothesis in each of the 23 OECD countries. The new test yields support for the PPP in most countries in the sample, bringing us closer to solving the PPP puzzle.
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