Mokoena, Thabo Mishack2008-09-172008-09-172008-06Mokoena, 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]http://hdl.handle.net/2263/7170This 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.enUniversity of Pretoria, Department of EconomicsLong memory processesReal exchange ratesMean-reversionSouthern African Development CommunityForeign exchange ratesWorking Paper