Purchasing Power Parity analyzed through a continuous-time version of the ESTAR model
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.
Year of publication: |
2011
|
---|---|
Authors: | Nicolau, João |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 110.2011, 3, p. 182-185
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Publisher: |
Elsevier |
Keywords: | PPP Mean reversion Stochastic differential equation |
Saved in:
Online Resource
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