ROBUST-TESTS FOR UNIT ROOTS IN THE FOREIGN-EXCHANGE MARKET

被引：27

作者：

CORBAE, D

OULIARIS, S

机构：

来源：

ECONOMICS LETTERS | 1986年 / 22卷 / 04期

关键词：

D O I：

10.1016/0165-1765(86)90101-1

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：375 / 380

页数：6

共 10 条

[1] LIKELIHOOD RATIO STATISTICS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT-ROOT [J].

DICKEY, DA ;

FULLER, WA .

ECONOMETRICA, 1981, 49 (04) :1057-1072

[2] DISTRIBUTION OF THE ESTIMATORS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT ROOT [J].

DICKEY, DA ;

FULLER, WA .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1979, 74 (366) :427-431

[3]

Fuller, 1976, INTRO STATISTICAL TI, P373

[4] FORWARD EXCHANGE-RATES AS OPTIMAL PREDICTORS OF FUTURE SPOT RATES - AN ECONOMETRIC-ANALYSIS [J].

HANSEN, LP ;

HODRICK, RJ .

JOURNAL OF POLITICAL ECONOMY, 1980, 88 (05) :829-853

[5] TESTS OF RATIONAL-EXPECTATIONS AND NO RISK PREMIUM IN FORWARD EXCHANGE MARKETS [J].

HSIEH, DA .

JOURNAL OF INTERNATIONAL ECONOMICS, 1984, 17 (1-2) :173-184

[6] THE PESO PROBLEM IN TESTING THE EFFICIENCY OF FORWARD EXCHANGE MARKETS [J].

KRASKER, WS .

JOURNAL OF MONETARY ECONOMICS, 1980, 6 (02) :269-276

[7] ON UNIT ROOTS AND THE EMPIRICAL MODELING OF EXCHANGE-RATES [J].

MEESE, RA ;

SINGLETON, KJ .

JOURNAL OF FINANCE, 1982, 37 (04) :1029-1035

[8]

PHILLIPS PCB, 1986, 795 COWL F DISC PAP

[9]

PHILLIPS PCB, 1985, IN PRESS ECONOMETRIC

[10]

RIEHL H, 1977, FOREIGN EXCHANGE MAR

← 1 →