Details
| Original language | English |
|---|---|
| Pages (from-to) | 758-773 |
| Number of pages | 16 |
| Journal | Journal of applied econometrics |
| Volume | 29 |
| Issue number | 5 |
| Early online date | 26 Jun 2013 |
| Publication status | Published - Aug 2014 |
Abstract
In this paper we offer a bootstrap-based version of the Cox specification test for non-nested hypothesis to discriminate between ESTAR and MSAR models. Both models are commonly used for modeling real exchange rates dynamics. We show that the test has good size and power properties in finite samples. In an application, we analyze several major real exchange rates to shed light on the question of which model describes these processes best. This allows us to draw conclusions about the driving forces of real exchange rates.
ASJC Scopus subject areas
- Social Sciences(all)
- Social Sciences (miscellaneous)
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Journal of applied econometrics, Vol. 29, No. 5, 08.2014, p. 758-773.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - The dynamics of real exchange rates
T2 - A reconsideration
AU - Kaufmann, Hendrik
AU - Heinen, Florian
AU - Sibbertsen, Philipp
N1 - Funding Information: Financial support by the DeutscheForschungsgemeinschaft (DFG; grant number SI 745/7-1) is gratefully acknowledged
PY - 2014/8
Y1 - 2014/8
N2 - In this paper we offer a bootstrap-based version of the Cox specification test for non-nested hypothesis to discriminate between ESTAR and MSAR models. Both models are commonly used for modeling real exchange rates dynamics. We show that the test has good size and power properties in finite samples. In an application, we analyze several major real exchange rates to shed light on the question of which model describes these processes best. This allows us to draw conclusions about the driving forces of real exchange rates.
AB - In this paper we offer a bootstrap-based version of the Cox specification test for non-nested hypothesis to discriminate between ESTAR and MSAR models. Both models are commonly used for modeling real exchange rates dynamics. We show that the test has good size and power properties in finite samples. In an application, we analyze several major real exchange rates to shed light on the question of which model describes these processes best. This allows us to draw conclusions about the driving forces of real exchange rates.
UR - http://www.scopus.com/inward/record.url?scp=84905030574&partnerID=8YFLogxK
U2 - 10.1002/jae.2336
DO - 10.1002/jae.2336
M3 - Article
AN - SCOPUS:84905030574
VL - 29
SP - 758
EP - 773
JO - Journal of applied econometrics
JF - Journal of applied econometrics
SN - 0883-7252
IS - 5
ER -