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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Routledge
2003
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| الوصول للمادة أونلاين: | 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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my.upm.eprints.402912015-09-15T09:01:52Z http://psasir.upm.edu.my/id/eprint/40291/ The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies Liew, Venus Khim Sen Chong, Terence Tai Leung Lim, Kian Ping 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 that the conventional battery of diagnostic tests is capable of identifying the inadequacy of the linear model in only three of these series. Moreover, the linearity nature of this behaviour has been formally rejected in favour of the non-linear smooth transition autoregressive (STAR) model. The finding of non-linearity in the data generating process of these real exchange rates warrants that the use of linear framework in empirical modelling and statistical testing procedures in the field of exchange rates may lead to an inappropriate policy conclusions. Routledge 2003 Article PeerReviewed application/pdf en 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 Liew, Venus Khim Sen and Chong, Terence Tai Leung and Lim, Kian Ping (2003) The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies. Applied Economics, 35 (12). pp. 1387-1392. ISSN 0003-6846; ESSN: 1466-4283 http://www.tandfonline.com/doi/abs/10.1080/0003684032000129750 10.1080/0003684032000129750 |
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Universiti Putra Malaysia |
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UPM Library |
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Institutional Repository |
| continent |
Asia |
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Malaysia |
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Universiti Putra Malaysia |
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http://psasir.upm.edu.my/ |
| language |
English |
| description |
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 that the conventional battery of diagnostic tests is capable of identifying the inadequacy of the linear model in only three of these series. Moreover, the linearity nature of this behaviour has been formally rejected in favour of the non-linear smooth transition autoregressive (STAR) model. The finding of non-linearity in the data generating process of these real exchange rates warrants that the use of linear framework in empirical modelling and statistical testing procedures in the field of exchange rates may lead to an inappropriate policy conclusions. |
| format |
Article |
| author |
Liew, Venus Khim Sen Chong, Terence Tai Leung Lim, Kian Ping |
| spellingShingle |
Liew, Venus Khim Sen Chong, Terence Tai Leung Lim, Kian Ping The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies |
| author_facet |
Liew, Venus Khim Sen Chong, Terence Tai Leung Lim, Kian Ping |
| author_sort |
Liew, Venus Khim Sen |
| title |
The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies |
| title_short |
The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies |
| title_full |
The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies |
| title_fullStr |
The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies |
| title_full_unstemmed |
The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies |
| title_sort |
inadequacy of linear autoregressive model for real exchange rates: empirical evidence from asian economies |
| publisher |
Routledge |
| publishDate |
2003 |
| url |
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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1643832673390559232 |
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13.251813 |