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Bias in What We Truly Want to Measure in the Most Common Test of Uncovered Interest Parity and a Suggestion for an Unbiased Alternative

Richard H. Serlin, University Of Arizona

Abstract

The most common test of uncovered interest parity, performed in at least 75 studies, is based on a specification error and is biased. I suggest an alternative test which is based on the true specification.

Suggested Citation

Richard H. Serlin. 2006. "Bias in What We Truly Want to Measure in the Most Common Test of Uncovered Interest Parity and a Suggestion for an Unbiased Alternative" The Selected Works of Richard H. Serlin
Available at: http://works.bepress.com/richard_serlin/7

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