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Optimal and Adaptive Semi-Parametric Narrowband and Broadband and Maximum Likelihood Estimation of the Long-Memory Parameter for Real Exchange Rates
Heravi, Saeed; Patterson, Kerry - 2005
, with the crucial parameter d determining the long-run properties of the process. This study includes estimation of d by … three methods of semi-parametric estimation in the frequency domain, using both local and global (Fourier) frequency … estimation, and maximum likelihood estimation of ARFIMA models in the time domain. We give a transparent assessment of the key …
Persistent link: https://www.econbiz.de/10014066442
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Uncertainty, model selection, and the PPP puzzle
Gadea, María Dolores; Mayoral, Laura - In: Oxford economic papers 67 (2015) 3, pp. 614-633
Persistent link: https://www.econbiz.de/10011346114
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The nature of persistence in Turkish real exchange rates
Erlat, Haluk - In: Emerging markets finance & trade : a journal of the … 39 (2003) 2, pp. 70-97
Persistent link: https://www.econbiz.de/10001764482
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Testing of purchasing power parity theory using the doubly truncated ARMA-GARCH model and MCMC algorithms
Kim, Suduk; Chen, Chyong-lin; Tsurumi, Hiroki - In: Journal of economic research 8 (2003) 2, pp. 111-138
Persistent link: https://www.econbiz.de/10001872373
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Re-examining long-run purchasing power parity
Kuo, Biing-shen; Mikkola, Anne - In: Journal of international money and finance 18 (1999) 2, pp. 251-266
Persistent link: https://www.econbiz.de/10001381570
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Fitting a distribution to survey data for the half-life of deviations from PPP
Fisher, Mark - 2015
This note presents a nonparametric Bayesian approach to fitting a distribution to the survey data provided in Kilian and Zha (2002) regarding the prior for the half-life of deviations from purchasing power parity (PPP). A point mass at infinity is included. The unknown density is represented as...
Persistent link: https://www.econbiz.de/10011403123
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Quantifiying the half-life of deviations from PPP : the role of economic priors
Kilian, Lutz; Zha, Tao - 1999
Persistent link: https://www.econbiz.de/10001444610
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Quantifying the half-life of deviations from PPP : the role of economic priors
Kilian, Lutz (contributor); Zha, Tao (contributor) - 1999
Persistent link: https://www.econbiz.de/10001413008
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Quantifying the half-life of deviations from PPP : the role of economic priors
Kilian, Lutz; Zha, Tao - 1999
Persistent link: https://www.econbiz.de/10001418896