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Mean Reversion In Real Exchange Rates.pdf

RealFX_EL94.pdf
Preview of Mean reversion in real exchange rates
🔗 Source: people.ucsc.edu
📊 Size: 442 KB
📄 Pages: 6 pages
⬇️ Downloads: 377

Summary

A modified Dickey-Fuller test is used to examine mean reversion in real exchange rates, providing wider and more significant support for mean reversion than the standard Dickey-Fuller test. The test is applied to 16 real exchange rate series against the US dollar, with data covering the period from 1900 to 1992. The results indicate that the modified test can achieve a substantial gain in power over conventional unit-root tests, with good power and little size distortion in finite samples with dependent errors.

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Description

A modified Dickey-Fuller test is used to examine mean reversion in real exchange rates, providing wider and more significant support for mean reversion than...

Technical Information

  • File Format: PDF
  • File Size: 442 KB
  • Pages: 6
  • Language: EN
  • Total Downloads: 377
  • Last Updated: 1 week ago

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This PDF document about Mean reversion in real exchange rates provides comprehensive information and guidance. Whether you're a beginner or advanced user, this resource offers valuable insights into Mean reversion in real exchange rates.

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Mean guideMean tutorialreversion guidereversion tutorialreal guidereal tutorialexchange guideexchange tutorialrates guiderates tutorial

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