This study applies threshold cointegration test advanced by Enders and Siklos (2001) to investigate the properties of asymmetric adjustment in long-run Purchasing Power Parity (PPP) in 22 selected African countries during the period of January 1980 to December 2003. Although there is evidence of long-run PPP for most African countries, the adjustment mechanism is asymmetric. These results have particularly important policy implications for African countries.
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