Mean reversion in the real exchange rates

DOI10.1016/S0165-1765(00)00318-9zbMath0954.91043OpenAlexW2121731493MaRDI QIDQ1583397

Luis A. Gil-Alana

Publication date: 26 October 2000

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(00)00318-9

zbMATH Keywords

fractional integrationreal exchange ratesmean reversion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Statistical methods; economic indices and measures (91B82)

Related Items (7)

Structural breaks and fractional integration in the US output and unemployment rate. ⋮ The Tests of Robinson in the Context of AR(1) Disturbances ⋮ Unit root testing in the presence of mean reverting jumps: evidence from US T-bond yields ⋮ A fractional integration analysis of the population in some OECD countries ⋮ A mean shift break in the US interest rate. ⋮ Empirical evidence of the spot and the forward exchange rates in Canada. ⋮ The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain

Cites Work

• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• Efficient Tests of Nonstationary Hypotheses

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