Testing seasonal mean-reversion in the real exchange rates: an application of nonlinear IV estimator

DOI10.1016/J.ECONLET.2007.07.012zbMath1255.91333OpenAlexW1970843971MaRDI QIDQ1934761

Tsung-Wu Ho

Publication date: 29 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.07.012

zbMATH Keywords

seasonal unit rootPPPnonlinear IV

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82) Asymptotic properties of parametric tests (62F05)

Related Items (1)

Disentangling the source of non-stationarity in a panel of seasonal data

Cites Work

• Seasonal integration and cointegration
• Real exchange rates under the recent float: Unequivocal evidence of mean reversion
• Inference for unit roots in dynamic panels where the time dimension is fixed
• Exploiting cross-section variation for unit root inference in dynamic data
• Nonlinear instrumental variable estimation of an autoregression.
• Testing for unit roots in heterogeneous panels.
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Searching stationarity in the real exchange rates: Application of the SUR estimator
• Unit root tests in panel data: asymptotic and finite-sample properties
• Testing for seasonal unit roots in heterogeneous panels
• The Econometric Analysis of Seasonal Time Series

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