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

香港中文大學研究人員

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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.
著者Liew VKS, Chong TTL, Lim KP
期刊名稱Applied Economics
詳細描述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
卷號35
期次12
出版社ROUTLEDGE TAYLOR & FRANCIS LTD
頁次1387 - 1392
國際標準期刊號0003-6846
語言英式英語
Web of Science 學科類別Business & Economics; Economics; ECONOMICS

上次更新時間 2020-27-10 於 01:39