Mean reversion in real exchange rates
|Journal / Publication||Economics Letters|
|Publication status||Published - Nov 1994|
|Link to Scopus||https://www.scopus.com/record/display.uri?eid=2-s2.0-21844507739&origin=recordpage|
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.