The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies

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The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies

Utilizing the formal linearity test of Luukkonen, Saikkonen and Tera¨ svirta (Biometrika, 75, 491–99, 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 th...

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Bibliographic Details
Main Authors:	Liew, Venus Khim-Sen, Chong, Terrence Tai-Leung, Lim, Kian-Ping
Format:	Article
Language:	English
Published:	Taylor & Francis Group 2003
Subjects:	HB Economic Theory
Online Access:	http://ir.unimas.my/id/eprint/18638/ http://ir.unimas.my/id/eprint/18638/7/The%20inadequacy%20of%20linear%20autoregressive%20model%20%28abstract%29.pdf

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