References
- DeJong , D. N. , Nankervis , J. C. , Savin , N. E. and Whiteman , C. H. 1989 . Integration versus trend stationarity in macroeconomic time series , Working paper no. 89–99 Iowa City, IA : Department of Economics,University of Iowa .
- Dutt , S. D. 1994a . Theoretical and empirical analysis of consistency in the exchange rate expectation formation process . Journal of Economic Integration , 9 ( 3 ) : 370 – 392 .
- Dutt , S. D. 1994b . The foreign exchange market efficiency hypothesis: revisiting the puzzle . Economics Letters , 45 : 459 – 465 .
- Engle , R. F. and Granger , C. W. J. 1987 . Cointegration and error correlation:representation, estimation and testing . Econometrica , 55 : 251 – 276 .
- Frankel , J. and Froot , K. A. 1987 . Using survey data to test standard propositions regarding exchange rate expectations . American Economic Review , 77 : 133 – 153 .
- Froot , K. A. and Ito , T. 1989 . On the consistency of the short and long run exchange rate expectations . Journal of International Money and Finance , 8 : 487 – 510 .
- Harris , D. and Inder , B. 1994 . “ A test of the null hypothesis of cointegration ” . In Non-stationary Time Series and Cointegration Analysis , 133 – 152 . Oxford : Colin Hargreaves, Oxford University Press .
- Kwiatkowski , D. , Phillips , P. C. B. , Schmidt , P. and Shin , P. 1992 . Testing the null hypothesis of stationarity against the alternative of a unit root . Journal of Econometrics , 54 : 159 – 178 .
- Liu , P. C. and Maddala , G. S. 1992 . Rationality of survey data and test for market efficiency in foreign exchange markets . Journal of International Money and Finance , 11 : 366 – 381 .
- Pesaran , M. H. 1987 . The limits to Rational Expectations , London : Basil Blackwell .
- Phillips , P. C. B. 1991 . To criticize the critics: an objective Bayesian analysis of stochastic trends . Journal of Applied Econometrics , 6 : 333 – 364 .