| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2412 |
| DP2412 Should Argentina Adopt The US Dollar? | |
| Andrew Hughes Hallett; Myrvin L. Anthony | |
| 发表日期 | 2000-04-28 |
| 出版年 | 2000 |
| 语种 | 英语 |
| 摘要 | Tests of the null hypothesis of stationarity against the unit root alternative play an increasingly important role in empirical work in macroeconomics and in international finance. We show that the use of conventional asymptotic critical values for stationarity tests may cause extreme size distortions, if the model under the null hypothesis is highly persistent. This fact calls into question the use of these tests in empirical work. We illustrate the practical importance of this point for tests of long-run purchasing power parity under the recent float. We show that the common practice of viewing tests of stationarity as complementary to tests of the unit root null will tend to result in contradictions and in spurious rejections of long-run PPP. While the size distortions may be overcome by the use of finite-sample critical values, the resulting tests tend to have low power under economically plausible assumptions about the half-life of deviations from PPP. Thus, the fact that stationarity is not rejected cannot be interpreted as convincing evidence in favour of mean reversion. Only in the rare case that stationarity is rejected do size-corrected tests shed light on the question of long-run PPP. |
| 主题 | International Macroeconomics |
| 关键词 | Finite-sample critical values Long-run ppp Mean reversion Real exchange rate |
| URL | https://cepr.org/publications/dp2412 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531496 |
| 推荐引用方式 GB/T 7714 | Andrew Hughes Hallett,Myrvin L. Anthony. DP2412 Should Argentina Adopt The US Dollar?. 2000. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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