Template-Type: ReDIF-Paper 1.0
Author-Name: I Paya
Author-Name-First: I
Author-Name-Last: Paya
Author-Name: D Peel
Author-Name-First: D
Author-Name-Last: Peel
Title: Temporal aggregation of an ESTAR process
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.
Creation-Date: 2005
File-URL: http://www.lancaster.ac.uk/media/lancaster-university/content-assets/documents/lums/economics/working-papers/TemporalAggregation.pdf
File-Format: application/pdf
Number: 565938
Classification-JEL: 
Keywords: ESTAR, Real Exchange Rate, Purchasing Power Parity, Aggregation.
Handle: RePEc:lan:wpaper:565938