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Periodical article Periodical article Leiden University catalogue Leiden University catalogue WorldCat catalogue WorldCat
Title:Testing for fractional integration in Southern African Development Community real exchange rates
Authors:Mokoena, Thabo M.ISNI
Gupta, Rangan
Van Eyden, RenéeISNI
Periodical:South African Journal of Economics
Geographic term:Southern Africa
Subjects:exchange rates
External link:https://onlinelibrary.wiley.com/doi/10.1111/j.1813-6982.2009.01224.x/pdf
Abstract:This paper utilizes 'a class test for fractional integration' associated with the seminal contribution of M.J. Hinich and T.L. Chong (2007) 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. Bibliogr., sum. [Journal abstract]