KIM, JAEBEOM; OGAKI, MASAO; YANG, MINSEOK - In: Journal of Money, Credit and Banking 39 (2007) 8, pp. 2057-2075
This paper develops a system instrumental variable method to estimate the speed of adjustment coefficient in the long-run equilibrium of structural error correction models for a class of linear rational expectations models. This method is applied to an exchange rate model with sticky prices, in...