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http://bura.brunel.ac.uk/handle/2438/7088| Title: | Testing the PPP hypothesis in the sub-Saharan countries |
| Authors: | Caporale, GM Gil-Alana, LA |
| Keywords: | Purchasing Power Parity (PPP);Fractional integration |
| Issue Date: | 2012 |
| Publisher: | Brunel University |
| Citation: | Economics and Finance Working Paper, Brunel University, 12-27, Nov 2012 |
| Abstract: | This paper examines the PPP hypothesis in a number of Sub-Saharan countries by testing the order of integration in the log of their real exchange rate vis-à-vis the US dollar. I(d) techniques based on both asymptotic and finite sample results are used. The test results lead to the rejection of PPP in all cases: although orders of integration below 1 are found in fourteen countries, the unit root null cannot be rejected. |
| URI: | http://bura.brunel.ac.uk/handle/2438/7088 |
| Appears in Collections: | Economics and Finance Publications Dept of Economics and Finance Research Papers |
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