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英文文献：Examining the Evidence of Purchasing Power Parity by Recursive Mean Adjustment-通过递归平均调整检查购买力平价的证据
英文文献作者：Hyeongwoo Kim,Young-Kyu Moh
英文文献摘要：
This paper revisits the empirical evidence of purchasing power parity under the current float by recursive mean adjustment (RMA) proposed by So and Shin (1999). We first report superior power of the RMA-based unit root test in finite samples relative to the conventional augmented Dickey-Fuller (ADF) test via Monte Carlo experiments for 16 linear and nonlinear autoregressive data generating processes. We find that the more powerful RMA-based unit root test rejects the null hypothesis of a unit root for 16 out of 20 current float real exchange rates relative to the US dollar, while the ADF test rejects only 5 at the 10% significance level. We also find that the computationally simple RMA-based asymptotic confidence interval can provide useful information regarding the half-life of the real exchange rate.
本文通过由So和Shin(1999)提出的递归平均调整(RMA)重新审视了当前浮动条件下购买力平价的经验证据。通过16个线性和非线性自回归数据生成过程的蒙特卡洛实验，我们首先报告了有限样本中基于rma的单位根检验相对于传统的增强dickeyfuller (ADF)检验的优越性。我们发现，更强大的基于rma的单位根检验拒绝了相对于美元的20个当前浮动实际汇率中16个单位根的原假设，而ADF检验只拒绝了10%显著性水平下的5个。我们还发现，计算简单的基于rmam的渐近置信区间可以提供有关实际汇率半衰期的有用信息。
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