Mean reversion in real exchange rates

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Abstract

A modified Dickey-Fuller test, which is approximately uniformly most power invariant, is employed to examine mean reversion in real exchange rates. Results from this test provide a wider and more significant support for mean reversion than the standard Dickey-Fuller test. © 1994.

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Cheung, Y. W., & Lai, K. S. (1994). Mean reversion in real exchange rates. Economics Letters, 46(3), 251–256. https://doi.org/10.1016/0165-1765(94)00486-2

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