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.

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Year of publication:	2011
Authors:	Nicolau, João
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 110.2011, 3, p. 182-185
Publisher:	Elsevier
Keywords:	PPP Mean reversion Stochastic differential equation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008866928