Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model
Year of publication: |
2010-12-31
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Authors: | Bec, Frédérique ; Bensalem, Mélika ; Carrasco, Marine |
Institutions: | HAL |
Subject: | Half-life | purchasing power parity | mixing conditions | smooth transition autoregressive model | unit-root test | real exchange rate |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00685810 Published, Annales d'Economie et Statistiques, 2010, 99/100, 395 |
Source: |
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Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model
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Detecting mean reversion in real exchange rates from a multiple regime STAR model
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