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Persistent link: https://www.econbiz.de/10003603410

Structural error correction models : instrumental variables methods and an application to an exchange rate model

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Purchasing power parity for traded and non-traded goods : a stuctural error correction model approach

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Purchasing power parity for traded and non-traded goods : a structural error correction model approach

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Purchasing Power Parity for Traded and Non-traded Goods: A Structural Error Correction Model Approach

Kim, Jaebeom; Ogaki, Masao - In: Monetary and Economic Studies 22 (2004) 1, pp. 1-25

When univariate methods are applied to real exchange rates, point estimates of autoregressive (AR) coefficients typically imply very slow rates of mean reversion. However, a recent study by Murray and Papell (2002) calculates confidence intervals for estimates of half-lives for long-horizon and...

Persistent link: https://www.econbiz.de/10004971222