2012
DOI: 10.1080/00036846.2011.587791
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Purchasing power parity with flexible Fourier stationary test for Central and Eastern European countries

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Cited by 5 publications
(4 citation statements)
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“…For example, Becker, Enders, and Lee (2006) used a nonlinear Kwiatkowski-Phillips-Schmidt-Shin (KPSS) stationarity test; Rodrigues and Taylor (2012) used the Dickey-Fuller with the Generalised Least Square (DF-GLS) de-trending method, and Enders and Lee (2011) employed the Lagrange Multiplier (LM) de-trending method. For application of the Fourier unit root test see Chang et al (2012). 3.…”
Section: Acknowledgementmentioning
confidence: 99%
“…For example, Becker, Enders, and Lee (2006) used a nonlinear Kwiatkowski-Phillips-Schmidt-Shin (KPSS) stationarity test; Rodrigues and Taylor (2012) used the Dickey-Fuller with the Generalised Least Square (DF-GLS) de-trending method, and Enders and Lee (2011) employed the Lagrange Multiplier (LM) de-trending method. For application of the Fourier unit root test see Chang et al (2012). 3.…”
Section: Acknowledgementmentioning
confidence: 99%
“…To deal with these issues, a recent development is to use Fourier approximation which captures structural breaks as a gradual process and does not require to know number, dates and form of breaks. Su et al (2011) and Chang et al (2012) find that although the conventional tests cannot support PPP, the unit root test with Fourier approximation provides more evidence on the validity of PPP.…”
Section: Literature Reviewmentioning
confidence: 99%
“…Lin et al (2011) found that out of the nine transition countries studied in the 1995M1-2008M12 period PPP was only valid for Lithuania by employing the Fourier stationary test introduced by Becker et al (2006). On the other hand, by employing the Fourier LM unit root test developed by Enders and Lee (2012), Chang et al (2012) tested the validity of the PPP hypothesis for seven CEE countries using the monthly data from 1993 to 2008 and obtained the result that PPP was valid for all seven countries.…”
Section: Introductionmentioning
confidence: 99%
“…To overcome this problem, Lin et al (2011) and Chang et al (2012) employed Fourier stationary and Fourier unit root tests. Lin et al (2011) found that out of the nine transition countries studied in the 1995M1-2008M12 period PPP was only valid for Lithuania by employing the Fourier stationary test introduced by Becker et al (2006).…”
Section: Introductionmentioning
confidence: 99%