Testing seasonal mean-reversion in the real exchange rates: An application of nonlinear IV estimator

Tsung wu Ho

doi:10.1016/j.econlet.2007.07.012

Testing seasonal mean-reversion in the real exchange rates: An application of nonlinear IV estimator

Tsung wu Ho^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

Abstract

Recent panel unit root tests for PPP usually ignore seasonality, which may generate unknown effects on cross-sectional dependencies. Chang [Chang Y., 2002. Nonlinear IV unit root tests in panels with cross-sectional dependency. Journal of Econometrics 110, 261-292] proposed a nonlinear IV estimator removing cross-sectional dependencies asymptotically. We extend it to test seasonal panel unit root in the form of Hylleberg et al. [Hylleberg, S., Engle, R.F., Granger, C.W.J., Yoo, B.S., 1990. Seasonal integration and cointegration. Journal of Econometrics 44, 215-238]. The empirical robustness of the statistic to seasonality is confirmed.

Original language	English
Pages (from-to)	314-316
Number of pages	3
Journal	Economics Letters
Volume	99
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2007.07.012
Publication status	Published - 2008 May
Externally published	Yes

Keywords

Nonlinear IV
PPP
Seasonal unit root

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2007.07.012

Cite this

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title = "Testing seasonal mean-reversion in the real exchange rates: An application of nonlinear IV estimator",

abstract = "Recent panel unit root tests for PPP usually ignore seasonality, which may generate unknown effects on cross-sectional dependencies. Chang [Chang Y., 2002. Nonlinear IV unit root tests in panels with cross-sectional dependency. Journal of Econometrics 110, 261-292] proposed a nonlinear IV estimator removing cross-sectional dependencies asymptotically. We extend it to test seasonal panel unit root in the form of Hylleberg et al. [Hylleberg, S., Engle, R.F., Granger, C.W.J., Yoo, B.S., 1990. Seasonal integration and cointegration. Journal of Econometrics 44, 215-238]. The empirical robustness of the statistic to seasonality is confirmed.",

keywords = "Nonlinear IV, PPP, Seasonal unit root",

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year = "2008",

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doi = "10.1016/j.econlet.2007.07.012",

language = "English",

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journal = "Economics Letters",

issn = "0165-1765",

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T1 - Testing seasonal mean-reversion in the real exchange rates

T2 - An application of nonlinear IV estimator

AU - Ho, Tsung wu

PY - 2008/5

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N2 - Recent panel unit root tests for PPP usually ignore seasonality, which may generate unknown effects on cross-sectional dependencies. Chang [Chang Y., 2002. Nonlinear IV unit root tests in panels with cross-sectional dependency. Journal of Econometrics 110, 261-292] proposed a nonlinear IV estimator removing cross-sectional dependencies asymptotically. We extend it to test seasonal panel unit root in the form of Hylleberg et al. [Hylleberg, S., Engle, R.F., Granger, C.W.J., Yoo, B.S., 1990. Seasonal integration and cointegration. Journal of Econometrics 44, 215-238]. The empirical robustness of the statistic to seasonality is confirmed.

AB - Recent panel unit root tests for PPP usually ignore seasonality, which may generate unknown effects on cross-sectional dependencies. Chang [Chang Y., 2002. Nonlinear IV unit root tests in panels with cross-sectional dependency. Journal of Econometrics 110, 261-292] proposed a nonlinear IV estimator removing cross-sectional dependencies asymptotically. We extend it to test seasonal panel unit root in the form of Hylleberg et al. [Hylleberg, S., Engle, R.F., Granger, C.W.J., Yoo, B.S., 1990. Seasonal integration and cointegration. Journal of Econometrics 44, 215-238]. The empirical robustness of the statistic to seasonality is confirmed.

KW - Nonlinear IV

KW - PPP

KW - Seasonal unit root

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UR - https://www.scopus.com/pages/publications/42949116054#tab=citedBy

U2 - 10.1016/j.econlet.2007.07.012

DO - 10.1016/j.econlet.2007.07.012

M3 - Article

AN - SCOPUS:42949116054

SN - 0165-1765

VL - 99

SP - 314

EP - 316

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

Testing seasonal mean-reversion in the real exchange rates: An application of nonlinear IV estimator

Abstract

Keywords

ASJC Scopus subject areas

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