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

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...

Full description

Bibliographic Details
Main Authors: Liew, Venus Khim Sen, Chong, Terence Tai Leung, Lim, Kian Ping
Format: Article
Language:English
Published: Routledge 2003
Online Access:http://psasir.upm.edu.my/id/eprint/40291/
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

Internet

http://psasir.upm.edu.my/id/eprint/40291/
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

Similar Items