Do real exchange rates have autoregressive unit roots? a test under the alternative of long memory and breaks
AbstractIn 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Federal Reserve Bank of St. Louis in its series Working Papers with number 2000-016.
Date of creation: 2000
Date of revision:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Perron, Pierre, 1989.
"The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,"
Econometrica, Econometric Society,
Econometric Society, vol. 57(6), pages 1361-1401, November.
- Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers, Princeton, Department of Economics - Econometric Research Program 338, Princeton, Department of Economics - Econometric Research Program.
- Vogelsang, T.I. & Perron, P., 1991.
"Nonstationary and Level Shifts With An Application To Purchasing Power Parity,"
Papers, Princeton, Department of Economics - Econometric Research Program
359, Princeton, Department of Economics - Econometric Research Program.
- Perron, Pierre & Vogelsang, Timothy J, 1992. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 10(3), pages 301-20, July.
- Phylaktis, Kate & Kassimatis, Yiannis, 1994. "Does the real exchange rate follow a random walk? The Pacific Basin perspective," Journal of International Money and Finance, Elsevier, Elsevier, vol. 13(4), pages 476-495, August.
- Alston Flynn, N. & Boucher, Janice L., 1993. "Tests of long-run Purchasing Power Parity using alternative methodologies," Journal of Macroeconomics, Elsevier, Elsevier, vol. 15(1), pages 109-122.
- Mark, Nelson C., 1990. "Real and nominal exchange rates in the long run: An empirical investigation," Journal of International Economics, Elsevier, vol. 28(1-2), pages 115-136, February.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 49(4), pages 1057-72, June.
- Mark P. Taylor, 2003. "Purchasing Power Parity," Review of International Economics, Wiley Blackwell, vol. 11(3), pages 436-452, 08.
- Serletis, Apostolos & Zimonopoulos, Grigorios, 1997. "Breaking Trend Functions in Real Exchange Rates: Evidence from Seventeen OECD Countries," Journal of Macroeconomics, Elsevier, Elsevier, vol. 19(4), pages 781-802, October.
- Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, Elsevier, vol. 53(1-3), pages 165-188.
- Lothian, James R & Taylor, Mark P, 1996. "Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 104(3), pages 488-509, June.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 73(1), pages 5-59, July.
- Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, Elsevier, vol. 10(2), pages 139-162.
- Adler, Michael & Lehmann, Bruce, 1983. " Deviations from Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, American Finance Association, vol. 38(5), pages 1471-87, December.
- Apostolos Serletis, 1994. "Maximum likelihood cointegration tests of purchasing power parity: Evidence from seventeen OECD countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer, Springer, vol. 130(3), pages 476-493, September.
- Ata Assaf, 2004. "Rescaled variance analysis of real exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 11(5), pages 303-306.
- Coe, Patrick J. & Serletis, Apostolos, 2002. "Bounds tests of the theory of purchasing power parity," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 179-199, January.
- McMillan, David G. & Wohar, Mark E., 2010. "Persistence and time-varying coefficients," Economics Letters, Elsevier, vol. 108(1), pages 85-88, July.
- Ata Assaf, 2006. "Nonlinear Trend Stationarity in Real Exchange Rates: Evidence from Nonlinear ADF tests," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 283-294, November.
- Luis Gil-Alana, 2004. "The dynamics of the real exchange rates in Europe: a comparative study across countries using fractional integration," Applied Economics Letters, Taylor & Francis Journals, vol. 11(7), pages 429-432.
- Assaf, Ata, 2008. "Nonstationarity in real exchange rates using unit root tests with a level shift at unknown time," International Review of Economics & Finance, Elsevier, Elsevier, vol. 17(2), pages 269-278.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anna Xiao).
If references are entirely missing, you can add them using this form.