Abstract

New tests, based on smooth transition autoregressive models, for mean reversion in time series of real exchange rates are proposed. One test forces mean reversion to be symmetric about the integrated process central case, while the other permits asymmetry. The tests are applied to monthly series of seventeen real exchange rates against the U.S. dollar and fourteen against the deutsche mark. They reveal stronger evidence against the unit root null hypothesis than does the usual Dickey-Fuller test.

pdf

Additional Information

ISSN
1538-4616
Print ISSN
0022-2879
Pages
pp. 686-700
Launched on MUSE
2002-01-02
Open Access
No
Back To Top

This website uses cookies to ensure you get the best experience on our website. Without cookies your experience may not be seamless.