Working Paper
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.
https://doi.org/10.20955/wp.2000.016
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Bibliographic Information
Provider: Federal Reserve Bank of St. Louis
Part of Series: Working Papers
Publication Date: 2000
Number: 2000-016