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Bayesian and DF-GLS unit root tests of real exchange rates over the current floating period

Author

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  • David O. Cushman

    (University of Saskatchewan)

Abstract

In an analysis of purchasing power parity, the Phillips-Ploberger (1994) Bayesian model selection and unit root test procedure is applied to 53 real exchange rates over the current floating exchange rate period. The DF-GLS unit root test of Elliott, Rothenberg, and Stock (1996) is also applied. The Bayesian test provides very little support for the stationarity of the real exchange rates, while the DF-GLS test provides somewhat more support.

Suggested Citation

  • David O. Cushman, 2001. "Bayesian and DF-GLS unit root tests of real exchange rates over the current floating period," Economics Bulletin, AccessEcon, vol. 6(1), pages 1-7.
    • Handle: RePEc:ebl:ecbull:eb-01f30001
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    File URL: http://www.accessecon.com/pubs/EB/2001/Volume6/EB-01F30001A.pdf
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    Cited by:

    1. Francis Ahking, 2003. "Efficient unit root tests of real exchange rates in the post-Bretton Woods era," Economics Bulletin, AccessEcon, vol. 6(7), pages 1-12.
    2. David O. Cushman, 2008. "Real exchange rates may have nonlinear trends," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(2), pages 158-173.

    More about this item

    Keywords

    Bayesian unit root test;

    JEL classification:

    • F3 - International Economics - - International Finance

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