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Aaron D. Smallwood
;
Stefan C. Norrbin

generalized long memory processes, failure of cointegration tests and exchange rate dynamics (replication data)

This paper presents evidence that the equilibrium relationship in a system of nominal exchange rates is best described as a stationary GARMA process. The implementation of the GARMA methodology helps explain conflicting and puzzling results from the use of linear cointegration and fractional cointegration methods. Furthermore, we use Monte Carlo analysis to document problems with standard cointegration tests when the attraction process is distributed as a long memory GARMA process.

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Smallwood, Aaron D.; Norrbin, Stefan C. (2006): Generalized long memory processes, failure of cointegration tests and exchange rate dynamics (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022319.0711377466

Related Publication

Smallwood, A. and Norrbin, S. (2006), Generalized Long Memory Processes, Failure Of Cointegration Tests And Exchange Rate Dynamics, Journal of Applied Econometrics, 21(4), 409-417. https://doi.org/10.1002/jae.857

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