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Temporal aggregation of an ESTAR process:some implications for purchasing power parity adjustment

Paya, I and Peel, D (2005) Temporal aggregation of an ESTAR process:some implications for purchasing power parity adjustment. Working Paper. The Department of Economics, Lancaster University.

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    Abstract

    Nonlinear models of deviations from PPP have recently provided an important, theoretically well motivated, contribution to the PPP puzzle. Most of these studies use temporally aggregated data to empirically estimate the nonlinear models. As noted by Taylor (2001), if the true DGP is nonlinear, the temporally aggregated data could exhibit misleading properties regarding the adjustment speeds. We examine the effects of different levels of temporal aggregation on estimates of ESTAR models of real exchange rates.

    Item Type: Monograph (Working Paper)
    Uncontrolled Keywords: ESTAR ; Real Exchange Rate ; Purchasing Power Parity ; Aggregation.
    Subjects:
    Departments: Lancaster University Management School > Economics
    ID Code: 48762
    Deposited By: ep_importer_pure
    Deposited On: 11 Jul 2011 22:11
    Refereed?: No
    Published?: Published
    Last Modified: 17 Sep 2013 18:27
    Identification Number:
    URI: http://eprints.lancs.ac.uk/id/eprint/48762

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