Do real exchange rates have autoregressive unit roots? a test under the alternative of long memory and breaks
Abstract: In this paper, we estimate (by maximum likelihood) the parameters of univariate fractionally integrated real exchange rate time series models, and test for autoregressive unit roots on the alternative of a covariance stationary long-memory process. We use quarterly dollar-based real exchange rates (since 1957) for seventeen OECD countries, and that the finding of unit autoregressive roots does not go away even with this more sophisticated alternative.
File(s): File format is application/pdf http://research.stlouisfed.org/wp/more/2000-016
Provider: Federal Reserve Bank of St. Louis
Part of Series: Working Papers
Publication Date: 2000