Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity
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More about this item
Keywords
real exchange rates; long memory; ESTAR non-linearity;All these keywords.
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2004-08-16 (Econometric Time Series)
- NEP-IFN-2004-08-16 (International Finance)
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