Generalized long memory processes, failure of cointegration tests and exchange rate dynamics (replication data)

DOI

This paper presents evidence that the equilibrium relationship in a system of nominal exchange rates is best described as a stationary GARMA process. The implementation of the GARMA methodology helps explain conflicting and puzzling results from the use of linear cointegration and fractional cointegration methods. Furthermore, we use Monte Carlo analysis to document problems with standard cointegration tests when the attraction process is distributed as a long memory GARMA process.

Identifier
DOI https://doi.org/10.15456/jae.2022319.0711377466
Metadata Access https://www.da-ra.de/oaip/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai:oai.da-ra.de:776085
Provenance
Creator Smallwood, Aaron D.; Norrbin, Stefan C.
Publisher ZBW - Leibniz Informationszentrum Wirtschaft
Publication Year 2006
Rights Creative Commons Attribution 4.0 (CC-BY); Download
OpenAccess true
Contact ZBW - Leibniz Informationszentrum Wirtschaft
Representation
Language English
Resource Type Collection
Discipline Economics