Do real exchange rates have autoregressive unit roots? a test under the alternative of long memory and breaks

Michael Dueker and Apostolos Serletis

No 2000-016, Working Papers from Federal Reserve Bank of St. Louis

Abstract: In this paper, we estimate (by maximum likelihood) the parameters of univariate fractionally integrated real exchange rate time series models, and test for autoregressive unit roots on the alternative of a covariance stationary long-memory process. We use quarterly dollar-based real exchange rates (since 1957) for seventeen OECD countries, and that the finding of unit autoregressive roots does not go away even with this more sophisticated alternative.

Keywords: Foreign exchange rates; time series analysis (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (9)

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DOI: 10.20955/wp.2000.016

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