Do real exchange rates have autoregressive unit roots? a test under the alternative of long memory and breaks

In this paper, we estimate (by maximum likelihood) the parameters of univariate fractionally integrated real exchange rate time series models, and test for autoregressive unit roots on the alternative of a covariance stationary long-memory process. We use quarterly dollar-based real exchange rates (since 1957) for seventeen OECD countries, and that the finding of unit autoregressive roots does not go away even with this more sophisticated alternative.

MoreLess

Year of publication:	2000
Authors:	Dueker, Michael ; Serletis, Apostolos
Institutions:	Federal Reserve Bank of St. Louis
Subject:	Foreign exchange rates \| Time-series analysis

More details

Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2000-016
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005707703