Exchange rate regime verification: An alternative method of testing for regime changes
This work proposes a change in persistence test for identifying de facto exchange rate regime changes. The results from 25 African countries show that this approach is able to identify some regime changes not captured by existing methods.
References listed on IDEAS
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.:
- Kim, Jae-Young, 2000. "Detection of change in persistence of a linear time series," Journal of Econometrics, Elsevier, vol. 95(1), pages 97-116, March.
- Serven, Luis & Frankel, Jeffrey & Fajnzylber, Eduardo & Schmukler, Sergio, 2000.
"Verifying exchange rate regimes,"
Policy Research Working Paper Series
2397, The World Bank.
- Timothy J. Vogelsang, 1998. "Trend Function Hypothesis Testing in the Presence of Serial Correlation," Econometrica, Econometric Society, vol. 66(1), pages 123-148, January.
- Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2006.
"Modified tests for a change in persistence,"
Journal of Econometrics,
Elsevier, vol. 134(2), pages 441-469, October.
- Busetti, Fabio & Taylor, A. M. Robert, 2004. "Tests of stationarity against a change in persistence," Journal of Econometrics, Elsevier, vol. 123(1), pages 33-66, November.
When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:113:y:2011:i:1:p:96-98. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.