CES VŠEM o aktuálních ekonomických problémech

For the case of the non-linear KSS test, some evidence in favour
of the PPP can be found (six countries for demeaned time series),
indicating that is better than for the Euro pairs. However, there is
almost no evidence for detrended time series, which is the very
opposite compared with the results for the Euro exchange rates.
Table 6: Univariate unit root test – KSS test for the US
KSSa)
demeanedb)
KSSa)
detrendedc)
Bulgaria 3.24 -3.19** (1) 6.58 -5.26*** (3)
Cyprus 1.20 -2..98** (6) 1.33 -1.95 (8)
Czech Republic 0.81 -1.96 (8) 1.79 -1.51 (9)
Estonia 1.06 -2.96** (6) 1.56 -1.49 (9)
Hungary 1.54 -3.87*** (6) 1.91 -0.87 (8)
Lithuania 2.15 0.15 (7) 2.43 -1.93 (7)
Latvia 0.25 -1.43 (8) 1.85 -1.46 (9)
Malta 1.02 -2.74* (6) 1.28 -0.75 (10)
Poland 2.12 -2.88* (5) 2.89 -2.36 (5)
Romania 1.59 -2.37 (1) 2.13 -2.01 (1)
Slovenia 1.13 -1.39 (9) 1.44 -1.22 (10)
Slovakia 0.66 -2.81 (6) 1.41 -2.24 (5)
Note: Optimal number of lags in parentheses. a) values of the test statistics
reported. ***, **, and *** significant at 1%, 5% and 10% respectively.
Critical values for the KSS test (Kapetanios al., 2003), p.~364,~tab.~1]:
b) -3.48, -2.93, -2.66. c) -3.93, -3.40, -3.13.
Source: own calculation.
As far as the results for the non-linear Bierens test are concerned,
they indicate that the PPP hypothesis cannot be rejected for
several NMS countries (Bulgaria, Cyprus, Estonia, Malta, Slovakia
and Slovenia). Compared with results of the same test for the
Euro pairs, the Czech exchange rate cannot be rejected to be
nonstationary. There is also more evidence in favour of the I(0)
(i.e. PPP) in the case of Malta and Slovakia. These countries can
be now included into the group of I(0) countries, conversely for
Bulgaria, Cyprus, Latvia and Lithuania. No change can be observed
in the case of Romania, Hungary and Poland.
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