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Volumn 6, Issue 1, 2001, Pages 1-7

Bayesian and DF-GLS unit root tests of real exchange rates over the current floating period

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EID: 33645621536     PISSN: None     EISSN: 15452921     Source Type: Journal    
DOI: None     Document Type: Article
Times cited : (3)

References (17)
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  • 2
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  • 3
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  • 4
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    • Testing for a Unit Root in the Presence of a Variance Shift
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  • 5
    • 0030210342 scopus 로고    scopus 로고
    • Mean reversion in real exchange rates: evidence and implications for forecasting
    • Jorion, P., and R. Sweeney (1996) "Mean reversion in real exchange rates: evidence and implications for forecasting" Journal of International Money and Finance 15, 535-550
    • (1996) Journal of International Money and Finance , vol.15 , pp. 535-550
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  • 6
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  • 7
    • 84977732024 scopus 로고
    • Was it real? The exchange-rate interest differential relation over the modern floating-rate period
    • Meese, R.A., and K.S. Rogoff (1988) "Was it real? The exchange-rate interest differential relation over the modern floating-rate period," Journal of Finance 43, 933-948
    • (1988) Journal of Finance , vol.43 , pp. 933-948
    • Meese, R.A.1    Rogoff, K.S.2
  • 8
    • 84890546231 scopus 로고    scopus 로고
    • (forthcoming) "Lag length selection and the construction of unit root tests with good size and power"
    • Ng, S., and P. Perron (forthcoming) "Lag length selection and the construction of unit root tests with good size and power," Econometrica
    • Econometrica
    • Ng, S.1    Perron, P.2
  • 9
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    • The overvaluation of purchasing power parity
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  • 10
    • 0010130401 scopus 로고    scopus 로고
    • Searching for stationarity: purchasing power parity under the current float
    • Papell, D. H. (1997) "Searching for stationarity: purchasing power parity under the current float" Journal of International Economics 43, 313-332
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    • Papell, D.H.1
  • 12
    • 84939893867 scopus 로고
    • Posterior odds testing for a unit root with data-based model selection
    • Phillips, P.C.B., and W. Ploberger (1994) "Posterior odds testing for a unit root with data-based model selection," Econometric Theory 10, 774-808
    • (1994) Econometric Theory , vol.10 , pp. 774-808
    • Phillips, P.C.B.1    Ploberger, W.2
  • 13
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  • 14
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    • Sarno, L., and M.P. Taylor (1998) "Real exchange rates under the recent float: unequivocal evidence of mean reversion" Economics Letters 60, 131-137
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  • 15
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  • 16
    • 84948866113 scopus 로고
    • An empirical investigation of long-run purchasing power parity using cointegration techniques
    • Taylor, M.P. (1988) "An empirical investigation of long-run purchasing power parity using cointegration techniques" Applied Economics 20, 1369-1381
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    • Taylor, M.P.1
  • 17
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    • Taylor, M.P., and L. Sarno (1998) "The behavior of real exchange rates during the post-Bretton Woods period" Journal of International Economics 46, 281-312
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    • Taylor, M.P.1    Sarno, L.2


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