Nonlinear approaches in testing PPP : evidence from Southern African Development Community

Zerihun, Mulatu F.; Breitenbach, M.C. (Marthinus); Kemegue, Francis M.

dc.contributor.author	Zerihun, Mulatu F.
dc.contributor.author	Breitenbach, M.C. (Marthinus)
dc.contributor.author	Kemegue, Francis M.
dc.date.accessioned	2016-07-18T07:23:33Z
dc.date.issued	2016-08
dc.description.abstract	In this paper two nonlinearity tests are employed: the nonparametric test developed by Brock, Dechert and Scheinkman - known as the BDS test and the Fourier stationarity test. The BDS non-linearity test detects whether the independent and identically distribute (iid) assumption of the time series used in the analysis holds true or not while the Fourier approximation mimics a wide variety of breaks and other types of nonlinearities. Both tests confirm the non-linear nature of real exchange series in SADC. The result from the Fourier stationary test further provides strong evidence of an OCA among the 11 SADC countries included in this study.	en_ZA
dc.description.department	Economics	en_ZA
dc.description.embargo	2017-08-31
dc.description.librarian	hb2016	en_ZA
dc.description.sponsorship	Economic Research Southern Africa (ERSA).	en_ZA
dc.description.uri	http://www.elsevier.com/locate/ecmod	en_ZA
dc.identifier.citation	Zerihun, MF & Breitenbach, MC 2016, 'Nonlinear approaches in testing PPP : evidence from Southern African Development Community', Economic Modelling, vol. 56, pp. 162-167	en_ZA
dc.identifier.issn	0264-9993 (print)
dc.identifier.issn	1873-6122 (online)
dc.identifier.other	10.1016/j.econmod.2016.04.002
dc.identifier.uri	http://hdl.handle.net/2263/55847
dc.language.iso	en	en_ZA
dc.publisher	Elsevier	en_ZA
dc.rights	© 2016 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Economic Modelling. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economic Modelling, vol. 56, pp. 162-167, 2016. doi : 10.1016/j.econmod.2016.04.002.	en_ZA
dc.subject	Optimal currency area	en_ZA
dc.subject	Purchasing power parity	en_ZA
dc.subject	Real exchange rate	en_ZA
dc.subject	Fourier stationary test	en_ZA
dc.subject	BDS Test	en_ZA
dc.subject	Southern African Development Community (SADC)	en_ZA
dc.title	Nonlinear approaches in testing PPP : evidence from Southern African Development Community	en_ZA
dc.type	Postprint Article	en_ZA