The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies
Utilizing the formal linearity test of Luukkonen, Saikkonen and Teräsvirta (Biometrika, 75, 491-499, 1998) as diagnostic tool, the empirical finding suggests that the linear autoregressive (AR) model is inadequate in describing the real exchange rates behaviour of 11 Asian economies. It is noted tha...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Routledge
2003
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| Online Access: | http://psasir.upm.edu.my/id/eprint/40291/1/The%20inadequacy%20of%20linear%20autoregressive%20model%20for%20real%20exchange%20rates%20empirical%20evidence%20from%20Asian%20economies.pdf http://psasir.upm.edu.my/id/eprint/40291/ http://www.tandfonline.com/doi/abs/10.1080/0003684032000129750 |
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