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Testing for Fractional Integration in SADC Real Exchange Rates

Testing for Fractional Integration in SADC Real Exchange Rates,Thabo Mokoena,Rangan Gupta,Renee Van Eyden

Testing for Fractional Integration in SADC Real Exchange Rates   (Citations: 1)
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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, 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.
Published in 2008.
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