regarding the adjustment speeds. We examine the effects of different levels of temporal aggregation on\ estimates of ESTAR … models of real exchange rates. Our Monte Carlo results show that temporal aggregation does not imply the disappearance of …, the autoregressive structure of some monthly ESTAR estimates found in the literature is suggestive that adjustment speeds …

conceptually superior to the ESTAR model since it is consistent with rational expectations. One of the advantages of the model is …

The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real … and their forecasts. It is shown graphically that the nonlinearity in the point forecasts of the ESTAR model decreases as … ESTAR specification over a simple AR(1) model. …