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Modelling the Japanese Exchange Rate in Terms of I(d) Statistical Models with Parametric and Semiparametric Techniques

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  • Luis A. Gil-Alana

    (Department of Economics, University of Navarre, Spain)

Abstract

In this article we model monthly data on the Japanese nominal exchange rate in relation to the US dollar by means of fractionally integrated statistical models. For this purpose, we use both parametric and semiparametric techniques proposed by P.M. Robinson in a number of papers. The results indicate that the order of integration of the series is higher than 1 and thus the standard approach of taking first differences to get series which are integrated of order 0 (which is required, for example, in the context of cointegration) may lead to spurious results, the series still having a component of long memory behaviour.

Suggested Citation

  • Luis A. Gil-Alana, 2004. "Modelling the Japanese Exchange Rate in Terms of I(d) Statistical Models with Parametric and Semiparametric Techniques," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 3(2), pages 123-138, August.
  • Handle: RePEc:ijb:journl:v:3:y:2004:i:2:p:123-138
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    References listed on IDEAS

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    2. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
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    13. Gil-Alana, Luis A., 1999. "Testing fractional integration with monthly data," Economic Modelling, Elsevier, vol. 16(4), pages 613-629, December.
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    More about this item

    Keywords

    fractional integration; long memory; exchange rates;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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