Quantile unit root test and the PPP in Africa

Mohsen Bahmani‐Óskooee · Tsangyao Chang · Tsung‐Hsien Chen · Han‐Wen Tzeng

13 citations0/0 files storedApplied Economics

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Abstract

In this study, we apply the Quantile unit root test and revisit the Purchasing Power Parity (PPP) in 20 African countries using real effective exchange rates over the period 1971Q1 to 2012Q4. While traditional unit root tests fail to reject unit root hypothesis in most of the countries, results from Quantile unit root test reject unit root null hypothesis in Ghana, Mauritius, Niger, South Africa, and Togo, providing support for the PPP at least in these five countries. We further estimate the half-life based on Quantile autoregressive (QAR) model to be about 4.57–7.96 quarters (1–2 year).

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References

1988Testing for a Unit Root in Time Series Regression 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1996The Purchasing Power Parity Puzzle 2003The Economics of Exchange Rates 2004The Purchasing Power Parity Debate 1996Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries 1993Testing for a Unit Root 1990Purchasing Power Parity in the Long Run

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