Tests for symmetric and asymmetric nonlinear mean reversion in real exchange rates
(2002)
Journal Article
Sollis, R., Leybourne, S., & Newbold, P. (2002). Tests for symmetric and asymmetric nonlinear mean reversion in real exchange rates. Journal of Money, Credit and Banking, 34(3, Part 1), 686-700
New tests, based on smooth transition autoregressive models, for mean reversion in time series of real exchange rates are proposed. One test forces mean reversion to be symmetric about the integrated process central case, while the other permits asym... Read More about Tests for symmetric and asymmetric nonlinear mean reversion in real exchange rates.