CES VŠEM o aktuálních ekonomických problémech

of issues related to the problem called fractional integration of
time series. This means that time series have a long memory
(long range dependence). 80 This poses a problem not only for
URTs and but also for pURTs. This would mean that standard
URTs are not suitable for those cases.
It also includes more practical aspects as different specification
of a non-linear adjustment process. For example, Bahmani-
Oskooee al. (2008) argue that assumptions for PPP are not met in
many countries and as a result, the PPP hypothesis is rejected.
Additionally, some market interventions, friction or misbeliefs
may hamper market forces from restoring equilibrium. This may
lead to the necessity to account for these by employing nonlinear
methods such as threshold models. Another problem is related
to the pURTs of RER if there are MA roots in the RER. This leads
to over-rejection of the hypothesis of non-stationarity as shown
in Fischer and Porath (2010). The lag selection is a problem of
non-linear tests such as the Bierens (1997) test. 81 This is because
the number of lags ( ) can be determined by various methods,
but the same cannot be easily done for the order of Chebishev
polynomials (however, the actual size of the test depends on
it). Hence, the power may be low (see Bierens, 1997).
Even though it is not possible to list and discuss all possible
problems and issues related to the testing of the PPP, given the
space limitations of this paper, the aforementioned ones can
help us to answer the question stated in the title of this
subsection. The 'PPP puzzle' is still alive and it is not clear when
we will have such (empirical) tools that will give us a clear
answer.
80 That is I(d) time series, where . The key threshold is the value of
dividing time series into two groups (stationary and non-stationary).
81 This seems to be the main problem for empirical analyses of time series, see
Harris and Sollis, 2005.
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