Quantile unit root test and the PPP in Africa |
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| Authors: | Mohsen Bahmani-Oskooee Tsangyao Chang Tsung-Hsien Chen Han-Wen Tzeng |
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| Affiliation: | 1. The Center for Research on International Economics and Department of Economics, University of Wisconsin-Milwaukee, Milwaukee, WI, USA;2. Department of Finance, Feng Chia University, Taichung, Taiwan;3. Department of Insurance, Chaoyang University of Technology, Taichung, Taiwan;4. Department of Finance, Overseas Chinese University, Taichung, Taiwan |
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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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| Keywords: | Purchasing power parity African countries Quantile unit root test |
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