Generalized long memory processes, failure of cointegration tests and exchange rate dynamics
发现名义汇率系统的均衡关系最好用平稳GARMA过程描述，并利用蒙特卡洛分析说明标准协整检验在长记忆GARMA过程下的问题。
Abstract This paper presents evidence that the equilibrium relationship in a system of nominal exchange rates is best described as a stationary GARMA process. The implementation of the GARMA methodology helps explain conflicting and puzzling results from the use of linear cointegration and fractional cointegration methods. Furthermore, we use Monte Carlo analysis to document problems with standard cointegration tests when the attraction process is distributed as a long memory GARMA process. Copyright © 2006 John Wiley & Sons, Ltd.