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...

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Main Authors: Liew, Venus Khim Sen, Chong, Terence Tai Leung, Lim, Kian Ping
格式: Article
語言:English
出版: Routledge 2003
在線閱讀: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
http://psasir.upm.edu.my/id/eprint/40291/
http://www.tandfonline.com/doi/abs/10.1080/0003684032000129750
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