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Purchasing Power Parity analyzed through a continuous-time version of the ESTAR model

  • Nicolau, João
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    From the discrete-time Exponential Smooth Autoregressive model, we obtain a continuous-time version that provides new tools for analyzing the Purchasing Power Parity hypothesis.

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    File URL: http://www.sciencedirect.com/science/article/B6V84-51N7RMK-1/2/50505727e480c46acc92de6bb8a5e8bc
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 110 (2011)
    Issue (Month): 3 (March)
    Pages: 182-185

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    Handle: RePEc:eee:ecolet:v:110:y:2011:i:3:p:182-185
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2009. "Nonlinearity and Temporal Dependence," Cowles Foundation Discussion Papers 1652R, Cowles Foundation for Research in Economics, Yale University.
    2. Lutz Kilian & Mark P. Taylor, 2001. "Why is it so difficult to beat the Random Walk Forecast of Exchange Rates?," Tinbergen Institute Discussion Papers 01-031/4, Tinbergen Institute.
    3. Taylor, Mark P & Peel, David A & Sarno, Lucio, 2001. "Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 1015-42, November.
    4. Alan M. Taylor, 2000. "Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price," NBER Working Papers 7577, National Bureau of Economic Research, Inc.
    5. Paya, Ivan & Peel, David A., 2006. "On the speed of adjustment in ESTAR models when allowance is made for bias in estimation," Economics Letters, Elsevier, vol. 90(2), pages 272-277, February.
    6. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
    7. Lucio Sarno, 2000. "Systematic sampling and real exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 136(1), pages 24-57, March.
    8. Jo�o Nicolau, 2002. "A new technique for simulating the likelihood of stochastic differential equations," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 91-103, June.
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