Paya, Ivan; Peel, David - In: Applied Economics 37 (2005) 21, pp. 2515-2522
Recent research has reported the lack of correct size in stationarity test for PPP deviations within a linear framework. However, theoretically well motivated non-linear models, such as the ESTAR, appear to parsimoniously fit the PPP data and provide an explanation for the PPP 'puzzle'....