Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity

DOI10.2202/1558-3708.1227zbMath1081.91576OpenAlexW1997359028MaRDI QIDQ3368389

Aaron D. Smallwood

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1227

zbMATH Keywords

long memoryreal exchange ratesESTAR nonlinearity

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

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A simple fractionally integrated model with a time-varying long memory parameter \(d_t\)

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