International Journal of Business and Economics Volume 3, No. 2 August, 2004

Modelling the Japanese Exchange Rate in Terms of I(d) Statistical Models with Parametric and Semiparametric Techniques

Luis A. Gil-Alana

Department of Economics, University of Navarre, Spain

Abstract

In this article we model monthly data on the Japanese nominal exchange rate in relation to the US dollar by means of fractionally integrated statistical models. For this purpose, we use both parametric and semiparametric techniques proposed by P.M. Robinson in a number of papers. The results indicate that the order of integration of the series is higher than 1 and thus the standard approach of taking first differences to get series which are integrated of order 0 (which is required, for example, in the context of cointegration) may lead to spurious results, the series still having a component of long memory behaviour.

Keywords：fractional integration, long memory, exchange rates.

JEL Classifications：C22.

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