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The Fourier Quantile Unit Root Test with an Application to the PPP Hypothesis in the OECD

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  3. Applied Economics Quarterly
  4. Vol. 63, Issue 3
  5. pp. 295–318

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Bahmani-Oskooee, M., Chang, T., Ranjbar, O. The Fourier Quantile Unit Root Test with an Application to the PPP Hypothesis in the OECD. Applied Economics Quarterly, 63(3), 295-318. https://doi.org/10.3790/aeq.63.3.295
Bahmani-Oskooee, Mohsen; Chang, Tsangyao and Ranjbar, Omid "The Fourier Quantile Unit Root Test with an Application to the PPP Hypothesis in the OECD" Applied Economics Quarterly 63.3, , 295-318. https://doi.org/10.3790/aeq.63.3.295
Bahmani-Oskooee, Mohsen/Chang, Tsangyao/Ranjbar, Omid: The Fourier Quantile Unit Root Test with an Application to the PPP Hypothesis in the OECD, in: Applied Economics Quarterly, vol. 63, iss. 3, 295-318, [online] https://doi.org/10.3790/aeq.63.3.295
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The Fourier Quantile Unit Root Test with an Application to the PPP Hypothesis in the OECD

Bahmani-Oskooee, Mohsen | Chang, Tsangyao | Ranjbar, Omid

Applied Economics Quarterly, Vol. 63 (2017), Iss. 3 : pp. 295–318

24 Citations (CrossRef)

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Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/aeq.63.3.295
Language
English
Pages
23
Keywords

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Author Details

Mohsen, Bahmani-Oskooee, The Center for Research on International Economics and Department of Economics, University of Wisconsin-Milwaukee, Milwaukee, USA.

Department of Finance, Feng Chia University, Taichung, Taiwan.

Allameh Tabataba’i University and Trade Promotion Organization of Iran, Teheran, Iran.

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Abstract

Abstract

With the introduction of new unit root tests, old theories receive a renewed attention. Quantile unit root test and Purchasing Power Parity (PPP) is no exception. However, we take an additional step and combine the quantile unit root test with smooth unknown multiple breaks through a Fourier expansion and test the PPP hypothesis in each of the 23 OECD countries. The new test yields support for the PPP in most countries in the sample, bringing us closer to solving the PPP puzzle.

JEL classifications: C22, F31

Keywords: Purchasing Power Parity, Quantile Unit Root Test, Smooth Breaks, Fourier Function, OECD

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