In ESTAR models it is usually dfficult to determine parameter estimates, as it can be observedin the literature. We show that the phenomena of getting strongly biased estimators is aconsequence of the so-called identication problem, the problem of properly distinguishing thetransition function...

Determining good parameter estimates in ESTAR models is known to be difficult. We showthat the phenomena of getting strongly biased estimators is a consequence of the so-calledidentication problem, the problem of properly distinguishing the transition function in relationto extreme parameter...

While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-runconcept the specific dynamic driving the process is largely build upon a priori economicbelief rather than a thorough statistical modeling procedure. The two prevailing timeseries models, i.e. the exponential smooth...