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Testing For Fractional Integration In Southern African Development Community Real Exchange Rates

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  • Thabo m. Mokoena
  • Rangan Gupta
  • Reneé Van eyden

Abstract

This paper utilises "a class test for fractional integration" associated with the seminal contribution of Hinich and Chong to appraise the possibility that Southern African Development Community (SADC) real exchange rates can be treated as long memory processes. The justification for considering fractional integration is that the general failure to reject the unit-root hypothesis in real exchange rates is caused by the restrictiveness of standard unit-root tests regarding admissible low-frequency dynamic behaviour. The paper presents evidence that, except for South Africa, none of the SADC real exchange rates are fractionally integrated. However, the results are found to be sensitive to the size of the sample. Copyright (c) 2009 The Authors. Journal compilation (c) 2009 Economic Society of South Africa.

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Bibliographic Info

Article provided by Economic Society of South Africa in its journal South African Journal of Economics.

Volume (Year): 77 (2009)
Issue (Month): 4 (December)
Pages: 531-537

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Handle: RePEc:bla:sajeco:v:77:y:2009:i:4:p:531-537

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