In this paper, we propose Phillips-Perron type, semiparametric testing procedures to distinguish a unit root process from a mean-reverting exponential smooth transition autoregressive one. The limiting nonstandard distributions are derived under very general conditions and simulation evidence...

This study analyzes the long-run validity of purchasing power parity (PPP) in three types of market economies-developed, emerging, and frontier markets-using the Fourier quantile unit root test. The analyses are conducted on 45 countries, including 10 developed, 20 developing, and 15 frontier...