Ng, Serena; Perron, Pierre - In: Annals of Economics and Finance 3 (2002) 1, pp. 43-64
In a recent paper, Engel, C. (1999) presents monte-carlo evidence to suggest that unit root tests cannot detect a non-stationary component in the real exchange rate even when this component accounts for almost half of its longhorizon forecast error variance. This hidden non-stationary component...