Mean reversion in real exchange rates

Yin-Wong Cheung; Kon S. Lai

doi:10.1016/0165-1765(94)00486-2

Mean reversion in real exchange rates

Yin-Wong Cheung, Kon S. Lai

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

38 Citations (Scopus)

Abstract

A modified Dickey-Fuller test, which is approximately uniformly most power invariant, is employed to examine mean reversion in real exchange rates. Results from this test provide a wider and more significant support for mean reversion than the standard Dickey-Fuller test. © 1994.

Original language	English
Pages (from-to)	251-256
Journal	Economics Letters
Volume	46
Issue number	3
DOIs	https://doi.org/10.1016/0165-1765(94)00486-2
Publication status	Published - Nov 1994
Externally published	Yes

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title = "Mean reversion in real exchange rates",

abstract = "A modified Dickey-Fuller test, which is approximately uniformly most power invariant, is employed to examine mean reversion in real exchange rates. Results from this test provide a wider and more significant support for mean reversion than the standard Dickey-Fuller test. {\textcopyright} 1994.",

author = "Yin-Wong Cheung and Lai, {Kon S.}",

year = "1994",

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AU - Cheung, Yin-Wong

AU - Lai, Kon S.

PY - 1994/11

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AB - A modified Dickey-Fuller test, which is approximately uniformly most power invariant, is employed to examine mean reversion in real exchange rates. Results from this test provide a wider and more significant support for mean reversion than the standard Dickey-Fuller test. © 1994.

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U2 - 10.1016/0165-1765(94)00486-2

DO - 10.1016/0165-1765(94)00486-2

M3 - RGC 21 - Publication in refereed journal

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VL - 46

SP - 251

EP - 256

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

Mean reversion in real exchange rates

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