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Working Paper
Do real exchange rates have autoregressive unit roots? a test under the alternative of long memory and breaks
In this paper, we estimate (by maximum likelihood) the parameters of univariate fractionally integrated real exchange rate time series models, and test for autoregressive unit roots on the alternative of a covariance stationary long-memory process. We use quarterly dollar-based real exchange rates (since 1957) for seventeen OECD countries, and that the finding of unit autoregressive roots does not go away even with this more sophisticated alternative.
Journal Article
Nominal stylized facts of U. S. business cycles
The authors investigate the basic nominal stylized facts of business cycles in the United States, using monthly data from 1960:1 to 1993:4 and the methodology suggested by Kydland and Prescott (1990). They make comparisons among simple sum and Divisia aggregates, using the Thornton and Yue (1992) series of Divisia monetary aggregates, and they investigate the robustness of the results to relevant nonstochastic stationarity-inducing transformations.