Nonlinear mean reversion in real exchange rates.

DOI10.1016/S0165-1765(02)00157-XzbMath1158.91461OpenAlexW2000847933MaRDI QIDQ1852951

George Kapetanios, Yongcheol Shin, Georgios E. Chortareas

Publication date: 21 January 2003

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(02)00157-x

zbMATH Keywords

Unit rootsPPPNonlinear STAR modelsReal exchange rates

Mathematics Subject Classification ID

Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (4)

The purchasing power parity fallacy: time to reconsider the PPP hypothesis ⋮ Testing for time series linearity ⋮ Inference on stochastic time-varying coefficient models ⋮ THE REAL INTEREST RATE DIFFERENTIAL: INTERNATIONAL EVIDENCE BASED ON NON-LINEAR UNIT ROOT TESTS

Cites Work

• Unnamed Item
• Panel unit root tests and real exchange rates
• Weak limit theorems for stochastic integrals and stochastic differential equations
• Testing for a unit root in the nonlinear STAR framework
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates?
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Mean reversion in real exchange rates

This page was built for publication: Nonlinear mean reversion in real exchange rates.