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


香港中文大学研究人员 ( 现职)

庄太量教授 (经济学系)

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数位物件识别号 (DOI) http://dx.doi.org/10.1080/0003684032000129750

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/26WOS source URL

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摘要Utilizing the formal linearity test of Luukkonen, Saikkonen and Terasvirta ( 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 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.

着者Liew VKS, Chong TTL, Lim KP
期刊名称APPLIED ECONOMICS
详细描述To ORKTS: I don't know how to add non-CU coauthors, they are

Venus Liew and K.P Lim
出版年份2003
月份8
日期12
卷号35
期次12
出版社ROUTLEDGE TAYLOR & FRANCIS LTD
页次1387 - 1392
国际标準期刊号0003-6846
语言英式英语

Web of Science 学科类别Business & Economics; Economics; ECONOMICS