The long-run validity of PPP in some major advanced and emerging countries using alternative models

The study examines whether the long-run validity of PPP holds in some major advanced and developing economies. employed smooth time-varying cointegration (TVC) detrended fluctuation analysis (DFA) methodology, we are not aware any that has applied TVC DFA to investigate determinants PPP. Using both US Japan as base countries, empirical results from univariate unit root tests show does hold thus invalidates finds strong evidence for VAR model TVC. Our can be used determining equilibrium exchange rates these 15 under methods. Hurst exponents real (RERs) absolute values showed exponent is greater than 0.5 country, persistent mean-reverting but a rolling window form RERs provide mixed about countries. These might different earlier works due techniques also long period data this study.