A New Test for Market Efficiency and Uncovered Interest Parity
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We suggest a new single-equation test for Uncovered Interest Parity (UIP) based on a dynamic regression approach. The method provides consistent and asymptotically efficient parameter estimates, and is not dependent on assumptions of strict exogeneity. This new approach is asymptotically more
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美国国家经济研究局创建时间：
2022-11-01
