Abstract
| Language | English |
|---|---|
| Pages | 810-816 |
| Number of pages | 7 |
| Journal | Economic Modelling |
| Volume | 29 |
| Issue number | 3 |
| Early online date | 19 Jan 2012 |
| DOIs | |
| Publication status | Published - May 2012 |
| Externally published | Yes |
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Some cautions on the use of nonlinear panel unit root tests : Evidence from a modified series-specific non-linear panel unit-root test. / Lau, Chi Keung; Suvankulov, Farrukh ; Su, Yongyang ; Chau, Frankie Ho Chi.
In: Economic Modelling, Vol. 29, No. 3, 05.2012, p. 810-816.Research output: Contribution to journal › Article
TY - JOUR
T1 - Some cautions on the use of nonlinear panel unit root tests
T2 - Economic Modelling
AU - Lau, Chi Keung
AU - Suvankulov, Farrukh
AU - Su, Yongyang
AU - Chau, Frankie Ho Chi
PY - 2012/5
Y1 - 2012/5
N2 - The purpose of this paper is to examine the relevance of applying nonlinear panel unit root test to examine the non-linear mean reversion behaviors of real exchange rates. We find that nonlinear panel unit root test may achieve lower power performance as compared to its alternative of linear panel unit test when the data generating process does not contain significant non-linear components. This finding post cautions to researchers in modeling and testing real exchanges behavior. We also develop a modified series-specific nonlinear panel unit root test and find evidence in favor of purchasing power parity hypothesis for China's four ASEAN trading partners in the period of February 1997 to August 2009.
AB - The purpose of this paper is to examine the relevance of applying nonlinear panel unit root test to examine the non-linear mean reversion behaviors of real exchange rates. We find that nonlinear panel unit root test may achieve lower power performance as compared to its alternative of linear panel unit test when the data generating process does not contain significant non-linear components. This finding post cautions to researchers in modeling and testing real exchanges behavior. We also develop a modified series-specific nonlinear panel unit root test and find evidence in favor of purchasing power parity hypothesis for China's four ASEAN trading partners in the period of February 1997 to August 2009.
KW - Monte Carlo Simulation
KW - non-linear panel unit root test
U2 - 10.1016/j.econmod.2011.08.006
DO - 10.1016/j.econmod.2011.08.006
M3 - Article
VL - 29
SP - 810
EP - 816
JO - Economic Modelling
JF - Economic Modelling
SN - 0264-9993
IS - 3
ER -