Fischer, Christoph (contributor); Porath, Daniel (contributor) - 2006
tests, however, could be biased if the real exchange rate contained MA roots. Indeed, two independent arguments claim that … the real exchange rate, being a sum of a stationary and a non-stationary component, is possibly an ARIMA (1, 1, 1) process … correlation matrix affect the size of first and second generation panel unit root tests. Two components of the real exchange rate …