This paper provides a selective survey of the recent literature of unit root econometrics. Since the seminal work of Nelson and Plosser (1982) was published, much theoretical and empirical research has been done in the area of unit root nonstationarity. Nelson and Plosser found that the null...

When univariate methods are applied to real exchange rates, point estimates of autoregressive (AR) coefficients typically imply very slow rates of mean reversion. However, a recent study by Murray and Papell (2002) calculates confidence intervals for estimates of half-lives for long-horizon and...

This paper investigates the effects of shocks to Japanese monetary policy on exchange rates and other macroeconomic variables, using structural vector error correction model methods with long-run restrictions. Long-run restrictions are attractive because they are more directly related to...