Mean reversion in real exchange rates

DOI10.1016/0165-1765(94)00486-2zbMath0815.90028OpenAlexW2112027734MaRDI QIDQ5906659

Yin-Wong Cheung, Kon S. Lai

Publication date: 12 January 1995

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

Full work available at URL: https://doi.org/10.1016/0165-1765(94)00486-2

zbMATH Keywords

mean reversion in real exchange ratesmodified Dickey-Fuller test

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items

A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes, Nonlinear mean reversion in real exchange rates.

Cites Work

• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Efficient Tests for an Autoregressive Unit Root