A BAYESIAN-ANALYSIS OF THE UNITE ROOT IN REAL EXCHANGE-RATES

被引：68

作者：

SCHOTMAN, P

VANDIJK, HK

机构：

[1] Erasmus University

来源：

JOURNAL OF ECONOMETRICS | 1991年 / 49卷 / 1-2期

关键词：

D O I：

10.1016/0304-4076(91)90014-5

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We propose a posterior odds analysis of the hypothesis of a unit root in real exchange rates. From a Bayesian viewpoint the random walk hypothesis for real exchange rates is a posteriori as probable as a stationary AR(1) process for four out of eight time series investigated. The French franc/German mark is clearly stationary, while the Japanese yen/US dollar is most likely a random walk. In contrast, classical tests are unable to reject the unit root for any of these series.

引用

页码：195 / 238

页数：44

共 28 条

[1]

[Anonymous], 1988, EMPIRICAL MODELING E

[2]

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[3] ON THE THEORY OF TESTING FOR UNIT ROOTS IN OBSERVED TIME-SERIES [J].