Searching Stationarity in the Real Exchange Rates: Application of the SUR Estimator
AbstractIn the foreign exchange market, all national currencies are priced in terms of a common numeraire (usually the U.S. dollar); hence, cross-currency correlation is likely to be important in the empirical investigation of stationarity. Recently, the SUR estimator is employed to account for the effects of cross-currency correlation on the long-run purchasing power parity. Under the SUR framework, this paper examines the joint unit-root null and the ADF-based panel unit root. Data of 30 currencies, spans from 1980 to 1999, are used for empirical analysis and the results are supportive. Copyright Kluwer Academic Publishers 2002
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Bibliographic InfoArticle provided by Springer in its journal Open Economies Review.
Volume (Year): 13 (2002)
Issue (Month): 3 (July)
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Web page: http://www.springerlink.com/link.asp?id=100323
purchasing power parity; unit root; SUR;
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