Are bilateral real exchange rates stationary? Evidence from Lagrange multiplier unit root tests for India

Narayan, Paresh Kumar 2006, Are bilateral real exchange rates stationary? Evidence from Lagrange multiplier unit root tests for India, Applied economics, vol. 38, no. 1, pp. 63-70.

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Title Are bilateral real exchange rates stationary? Evidence from Lagrange multiplier unit root tests for India
Author(s) Narayan, Paresh Kumar
Journal name Applied economics
Volume number 38
Issue number 1
Start page 63
End page 70
Publisher Routledge
Place of publication London, England
Publication date 2006-01
ISSN 0003-6846
1466-4283
Summary The paper examines the stationarity of India’s real exchange rate vis-a` -vis 16 of its major trading partner countries for the period 1960–2000. Application of the conventional ADF unit root test, the Lagrange multiplier (LM) unit root test with one structural break, and the LM unit root test with two structural breaks provides evidence that India’s exchange rate vis-a` -vis 15 out of 16 countries is stationary, implying support for purchasing power parity.
Language eng
Field of Research 140305 Time-Series Analysis
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2006, Taylor & Francis
Persistent URL http://hdl.handle.net/10536/DRO/DU:30018537

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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