Journal of Time Series Analysis

Testing unit roots and long range dependence of foreign exchange

Journal Article

Foreign exchange rate plays an important role in international finance. This article examines unit roots and the long range dependence of 23 foreign exchange rates using Robinson's (1994) test, which is one of the most efficient tests when testing fractional orders of seasonal/cyclical long memory processes. Monte Carlo simulations are carried out to explore the accuracy of the test before implementing the empirical applications.

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