Mokoena, Thabo MishackGupta, RanganVan Eyden, Renee2010-06-232010-06-232009-12Mokoena, T, Gupta, R & Van Eyden, R 2009, 'Testing for fractional integration in Southern African Development Community real exchange rates', South African Journal of Economics, vol. 77, no. 4, pp. 531 - 537. [http://www3.interscience.wiley.com/journal/117961981/home]0038-228010.1111/j.1813-6982.2009.01224.xhttp://hdl.handle.net/2263/14323This paper utilises "a class test for fractional integration" associated with the seminal contribution of Hinich and Chong to appraise the possibility that Southern 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, except for South Africa, none of the SADC real exchange rates are fractionally integrated. However, the results are found to be sensitive to the size of the sample.enWiley-Blackwell. This is the pre-peer reviewed version of the following article: Mokoena, T, Gupta, R & Van Eyden, R 2009, 'Testing for fractional integration in Southern African Development Community real exchange rates', South African Journal of Economics, vol. 77, no. 4, pp. 531 - 537, which has been published in final form at http://www3.interscience.wiley.com/journal/123190799/abstractLong memory processesReal exchange ratesMean-reversionSouthern African Development CommunityForeign exchange ratesPreprint Article