TY  - JOUR
AU  - Quah,Danny
AU  - Ito,Takatoshi
TI  - Estimation and Hypothesis Testing with Restricted Spectral Density Matrices:  An Application to Uncovered Interest Parity
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 50
PY  - 1989
Y2  - September 1989
UR  - http://www.nber.org/papers/t0050
L1  - http://www.nber.org/papers/t0050.pdf
N1  - Author contact info:
Danny Quah
London School of Economics
Houghton Street
London   WC2A 2AE
ENGLAND
E-Mail: dq@econ.lse.ac.uk

Takatoshi Ito
Graduate School of Economics
University of Tokyo
7-3-1 Hongo, Bunkyo-ku
Tokyo 113-0033
JAPAN
Tel: 81-3-5841-5608
Fax: 81-3-5841-5521
E-Mail: tito@e.u-tokyo.ac.jp
AB  - This paper explores an econometric estimation technique for dynamic linear models. The method combines the analytics of moving average solutions to dynamic models together with computational advantages of the Whittle likelihood. A hypothesis of interest to international and financial economists is represented in the form of cross-equation restrictions and tested under the technique. This paper employs data on Japanese yen- and U.S. dollar-denominated interest rates and yen/dollar exchange rates to examine the hypothesis of uncovered interest parity under rational expectations.
ER  -