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David O. Cushman
''Bayesian and DF-GLS unit root tests of real exchange rates over the current floating period''
( 2001, Vol. 6 No.1 )
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.
Keywords: Bayesian unit root test
JEL: F3 - International Finance: General
Manuscript Received : Apr 27 2001 Manuscript Accepted : May 17 2001

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