By allowing for multiple changes in persistence, this note shows that the US/UK real exchange rate spanning two centuries is stationary. This result is consistent with the previous one in Lothian and Taylor (1996, 2000) and purchasing power parity is a useful approximation in the long run.

The trends estimated by the Hodrick–Prescott (HP) filter are smooth by design and it is not easy to pinpoint their change-points. In this study, we locate their change-points by formulating the HP filter as a generalized unobserved components model with error terms of mixtures of normal...

This is a corrigendum. We correct the mistakes in Basci and Caner, "Are Real Exchange Rates Nonlinear or Non-stationary? Evidence from a New Threshold Unit Root Test" 2005, vol.9.4, Article 2.

This is a corrigendum. We correct the mistakes in Basci and Caner, "Are Real Exchange Rates Nonlinear or Non-stationary? Evidence from a New Threshold Unit Root Test" 2005, vol.9.4, Article 2.