Moore, M. J. (1992), Testing for efficiency in the forward exchange market, mimeo, Queen's University of Belfast. Home/Search Document Not in Database Summary Related Articles |
This paper is cited in the following contexts:
The Forward Rate Unbiasedness Hypothesis Reexamined.. - Delcoure, Barkoulas, al. (Correct)
.... observation and forecast periods do not coincide, that is, when the time to maturity for t he forward contract exceeds the time interval between observations, the error term in the cointegrating regression in (4) is a noninvertible moving average process (Hansen and Hodrick (1980) In that case, Moore (1992) shows that the Johansen cointegration methodology is inapplicable, as the Granger representation theorem breaks down in the presence of noninvertible moving average errors. Therefore, estimates and test results reported in previous empirical studies employing the Johansen technique are invalid ....
Moore, M. J. (1992), Testing for efficiency in the forward exchange market, mimeo, Queen's University of Belfast.
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