Testing for fractional integration in SADC real exchange rates

Mokoena, Thabo Mishack; Gupta, Rangan; Van Eyden, Renee

dc.contributor.author	Mokoena, Thabo Mishack
dc.contributor.upauthor	Gupta, Rangan
dc.contributor.upauthor	Van Eyden, Renee
dc.date.accessioned	2008-09-17T09:08:38Z
dc.date.available	2008-09-17T09:08:38Z
dc.date.issued	2008-06
dc.description.abstract	This paper utilises “a class test for fractional integration” associated with the seminal contribution of Hinich and Chong (2007) to appraise the possibility that South African Development Community (SADC) real exchange rates can be treated as long memory processes. The justification for considering fractional integration is that the general failure to reject the unit-root hypothesis in real exchange rates is caused by the restrictiveness of standard unit-root tests regarding admissible low-frequency dynamic behaviour. The paper presents evidence that a majority of SADC real exchange rates are fractionally integrated and therefore mean-reverting.	en_US
dc.identifier.citation	Mokoena, T, Gupta, R & Van Eyden, R 2008, 'Testing for fractional integration in SADC real exchange rates', University of Pretoria, Department of Economics, Working paper series, no. 2008-11. [http://web.up.ac.za/default.asp?ipkCategoryID=736&sub=1&parentid=677&subid=729&ipklookid=3]	en_US
dc.identifier.uri	http://hdl.handle.net/2263/7170
dc.language.iso	en	en_US
dc.publisher	University of Pretoria, Department of Economics	en_US
dc.relation.ispartofseries	Working Paper (University of Pretoria, Department of Economics)	en_US
dc.relation.ispartofseries	2008-11	en_US
dc.rights	University of Pretoria, Department of Economics	en_US
dc.subject	Long memory processes	en_US
dc.subject	Real exchange rates	en_US
dc.subject	Mean-reversion	en_US
dc.subject	Southern African Development Community	en
dc.subject.lcsh	Foreign exchange rates	en
dc.title	Testing for fractional integration in SADC real exchange rates	en_US
dc.type	Working Paper	en_US