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

João Nicolau

Economics Letters, 2011, vol. 110, issue 3, 182-185

Abstract: 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.

Keywords: PPP; Mean; reversion; Stochastic; differential; equation (search for similar items in EconPapers)
Date: 2011
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