A reappraisal of the evidence on PPP : a systematic investigation into MA roots in panel unit root test and their implications
Panel unit root tests of real exchange rates – as opposed to univariate tests – usually reject non-stationarity. These tests, however, could be biased if the real exchange rate contained MA roots. Indeed, two independent arguments claim that the real exchange rate, being a sum of a stationary and a...
| Found in: |
Cs. Económicas |
|---|---|
| Main Author: | Fischer, Christoph |
| Other Authors: | Porath, Daniel |
| Format: | Book |
| Language: | English |
| Published: |
Frankfurt am Main :
Deutsche Bundesbank,
2006
|
| Series: |
Discussion paper (Deutsche Bundesbank). Series 1: economic studies ;
no. 23/2006 |
| Subjects: | |
| Online Access: |
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2006/2006_07_18_dkp_23.pdf?__blob=publicationFile |