no code implementations • 2 Nov 2022 • Richard T. Baillie, Francis X. Diebold, George Kapetanios, Kun Ho Kim
We suggest a new single-equation test for Uncovered Interest Parity (UIP) based on a dynamic regression approach.
no code implementations • 8 Mar 2022 • Richard T. Baillie, Francis X. Diebold, George Kapetanios, Kun Ho Kim
Second, most economic time series have strong autocorrelation, which renders HAC regression parameter estimates highly inefficient.