Testing for fractional integration in SADC real exchange rates
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Date
Authors
Mokoena, Thabo Mishack
Journal Title
Journal ISSN
Volume Title
Publisher
University of Pretoria, Department of Economics
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.
Description
Keywords
Long memory processes, Real exchange rates, Mean-reversion, Southern African Development Community
Sustainable Development Goals
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]