THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION
提出一种基于自助法的Cox检验，用于区分ESTAR和MSAR模型，并应用于主要实际汇率数据，以判断哪种模型更优，从而揭示实际汇率的驱动因素。
SUMMARY In this paper we offer a bootstrap‐based version of the Cox specification test for non‐nested hypothesis to discriminate between ESTAR and MSAR models. Both models are commonly used for modeling real exchange rates dynamics. We show that the test has good size and power properties in finite samples. In an application, we analyze several major real exchange rates to shed light on the question of which model describes these processes best. This allows us to draw conclusions about the driving forces of real exchange rates. Copyright © 2013 John Wiley & Sons, Ltd.