Tims, B.

exchange rates exchange model panel power reversion euro area parameter methodology exchange rate currency unit root value reversion parameters series country result hypothesis canada multivariate period power functions estimate japan estimation unit root hypothesis dollar function figure power parity unit root test study monte carlo simulations table reversion parameter volatility ppp hypothesis parity restriction journal testing unit root tests unit roots equation property correlation number 1.00 statistic sample interest factor section coefficient return 0.000 paper evidence univariate level distribution simulation alternative analysis carlo monte 0.075 reversion coefficient 0.025 0.050 0.100 0.98 prof.dr half-life 0.94 0.96 exchange rate series taylor nonlinear price