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Estimation and Hypothesis Testing with Restricted Spectral Density Matrices: An Application to Uncovered Interest Parity / Danny Quah, Takatoshi Ito.
- Format:
- Book
- Author/Creator:
- Quah, Danny.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0050.
- NBER technical working paper series no. t0050
- Language:
- English
- Subjects (All):
- Econometrics.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Estimation and Hypothesis Testing with Restricted Spectral Density Matrices
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1989.
- Cambridge, Mass : National Bureau of Economic Research, 1989.
- Summary:
- This paper explores an econometric estimation technique for dynamic linear models. The method combines the analytics of moving average solutions to dynamic models together with computational advantages of the Whittle likelihood. A hypothesis of interest to international and financial economists is represented in the form of cross-equation restrictions and tested under the technique. This paper employs data on Japanese yen- and U.S. dollar-denominated interest rates and yen/dollar exchange rates to examine the hypothesis of uncovered interest parity under rational expectations.
- Notes:
- Print version record
- September 1989.
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