Testing the random walk hypothesis for r
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In Choi
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Article
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1999
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John Wiley and Sons
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English
β 183 KB
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This paper tests the random walk hypothesis for the log-dierenced monthly US real exchange rates versus some major currencies. The tests we use are variance ratio test, Durlauf's (1991) spectral domain tests and Andrews and Ploberger's (1996) optimal tests. The variance ratio test is calculated by u