Testing unit roots and long range dependence of foreign exchange
AbstractForeign exchange rate plays an important role in international finance. This paper examines unit roots and the long range dependence of 23 foreign exchange rates using Robinson's (1994) test, which is one of the most efficient tests when testing fractional orders of seasonal/cyclical long memory processes. Monte Carlo simulations are carried out to explore the accuracy of the test before implementing the empirical applications.
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Date of creation: Jun 2010
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Long memory processes ; test ; Monte Carlo Simulations ; unit roots ; exchange rate;
Other versions of this item:
- Zhiping Lu & Dominique Guegan, 2011. "Testing unit roots and long range dependence of foreign exchange," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(6), pages 631-638, November.
- Dominique Guegan & Zhiping Lu, 2010. "Testing unit roots and long range dependence of foreign exchange," Documents de travail du Centre d'Economie de la Sorbonne 10059, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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.:
- Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
- Rania Jammazi & Chaker Aloui, 2014. "Cyclical components and dual long memory in the foreign exchange rate dynamics: the Tunisian case," Working Papers 2014-198, Department of Research, Ipag Business School.
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