Robust tests for unit roots in the foreign exchange market
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference11 articles.
1. Distribution of the estimators for autoregressive time series with a unit root;Dickey;Journal of the American Statistical Association,1979
2. Likelihood ratio statistics for autoregressive time series with a unit root;Dickey;Econometrica,1981
3. Introduction to statistical time series;Fuller,1976
4. Forward exchange rates as optimal predictors of future spot rates: An econometric analysis;Hansen;Journal of Political Economy,1980
5. Tests of rational expectations and no risk premium in forward exchange markets;Hsieh;Journal of International Economics,1984
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