Temporal aggregation of an ESTAR process
AbstractNonlinear 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.
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Bibliographic InfoPaper provided by Lancaster University Management School, Economics Department in its series Working Papers with number 565938.
Date of creation: 2005
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