Exchange Rates and Monetary Fundamentals: What Do We Learn from Linear and Nonlinear Regressions?

Table 3

Misspecification tests of the VAR estimations.

	Euro/USD	Yen/USD
Autocorrelation LM Tests LM (1)	0.1209	0.2726
LM (4)	0.2625	0.9846
LM (8)	0.8715	0.9369
Heteroskedasticity White test	0.4301	0.2817
Normality test	0.0580	0.000

Notes: autocorrelation tests (LM (1), LM (4), and LM (8)) denote multivariate Godfrey [43] Lagrange multiplier (LM) type test for the first, fourth, and eighth order autocorrelations; the numbers reported are the values for the corresponding test statistics; heteroskedasticity test denotes White [44] type test, value is reported; normality test denotes the Jarque-Bera type test, value is reported.