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

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Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment. / Paya, I; Peel, D.
In: Journal of Applied Econometrics, Vol. 21, No. 5, 2006, p. 655-668.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Paya, I & Peel, D 2006, 'Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment', Journal of Applied Econometrics, vol. 21, no. 5, pp. 655-668. https://doi.org/10.1002/jae.860

APA

Paya, I., & Peel, D. (2006). Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment. Journal of Applied Econometrics, 21(5), 655-668. https://doi.org/10.1002/jae.860

Vancouver

Paya I, Peel D. Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment. Journal of Applied Econometrics. 2006;21(5):655-668. doi: 10.1002/jae.860

Author

Paya, I ; Peel, D. / Temporal aggregation of an ESTAR process : some implications for purchasing power parity adjustment. In: Journal of Applied Econometrics. 2006 ; Vol. 21, No. 5. pp. 655-668.

Bibtex

@article{deeaab6da860472aa8c90e493ff095c0,
title = "Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment",
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. ",
author = "I Paya and D Peel",
year = "2006",
doi = "10.1002/jae.860",
language = "English",
volume = "21",
pages = "655--668",
journal = "Journal of Applied Econometrics",
issn = "0883-7252",
publisher = "John Wiley and Sons Ltd",
number = "5",

}

RIS

TY - JOUR

T1 - Temporal aggregation of an ESTAR process

T2 - some implications for purchasing power parity adjustment

AU - Paya, I

AU - Peel, D

PY - 2006

Y1 - 2006

N2 - 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.

AB - 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.

U2 - 10.1002/jae.860

DO - 10.1002/jae.860

M3 - Journal article

VL - 21

SP - 655

EP - 668

JO - Journal of Applied Econometrics

JF - Journal of Applied Econometrics

SN - 0883-7252

IS - 5

ER -