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

David A. Peel and Ivan Paya ()

No 2390, Working Papers from Lancaster University Management School, Economics Department

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.

Keywords: ESTAR; Real Exchange Rate; Purchasing Power Parity; Aggregation. (search for similar items in EconPapers)
Date: 2005
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Related works:
Working Paper: TEMPORAL AGGREGATION OF AN ESTAR PROCESS: SOME IMPLICATIONS FOR PURCHASING POWER PARITY ADJUSTMENT (2004)
Journal Article: Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:lan:wpaper:002390

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