Purchasing power parity for BRICS: linear and nonlinear unit root tests with stationary covariates

被引：9

作者：

Su, Chi-Wei ^{[1
]}

Chang, Hsu-Ling ^{[2
]}

Chang, Tsangyao ^{[3
]}

Lee, Chia-Hao ^{[3
]}

机构：

[1] Shanxi Univ Finance & Econ, Fac Finance & Banking, Taiyuan, Shanxi, Peoples R China

[2] Ling Tung Univ, Dept Accounting & Informat, Taichung, Taiwan

[3] Feng Chia Univ, Dept Finance, Taichung 40724, Taiwan

来源：

APPLIED ECONOMICS LETTERS | 2012年 / 19卷 / 16期

关键词：

purchasing power parity; BRICS; unit root tests; stationary covariates; REAL EXCHANGE-RATES; TIME-SERIES; ADJUSTMENT; HYPOTHESIS;

D O I：

10.1080/13504851.2011.639732

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study apply both linear and nonlinear unit root tests with stationary covariates, proposed by Hansen (1995) and Tsong (2011), respectively, to test the validity of long-run Purchasing Power Parity (PPP) for a sample of BRICS countries (i.e. Brazil, Russia, India, China and South Africa) over January 1996 to July 2010. Empirical results from both linear and nonlinear unit root test with different stationary covariates indicate that PPP holds true for all of the BRICS countries. Our results have important policy implications for the BRICS countries under study.

引用

页码：1587 / 1591

页数：5

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