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

Paya, I and Peel, D (2006) Temporal aggregation of an ESTAR process:some implications for purchasing power parity adjustment. Journal of Applied Econometrics, 21 (5). pp. 655-668. ISSN 0883-7252

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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: Journal Article
Journal or Publication Title: Journal of Applied Econometrics
Uncontrolled Keywords: /dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
Subjects:
Departments: Lancaster University Management School > Economics
ID Code: 44298
Deposited By: ep_importer_pure
Deposited On: 11 Jul 2011 18:13
Refereed?: Yes
Published?: Published
Last Modified: 22 Jun 2019 03:57
URI: https://eprints.lancs.ac.uk/id/eprint/44298

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