Nonlinear approaches in testing PPP : evidence from Southern African Development Community
| dc.contributor.author | Zerihun, Mulatu F. | |
| dc.contributor.author | Breitenbach, Marthinus Christoffel | |
| dc.contributor.author | Kemegue, Francis M. | |
| dc.contributor.email | martin.breitenbach@up.ac.za | en_ZA |
| 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 |