Purchasing power parity analyzed through a continuous-time version of the ESTAR model

DOI10.1016/J.ECONLET.2010.11.012zbMATH Open1210.91104OpenAlexW1971446254MaRDI QIDQ531392FDOQ531392

Authors: João Nicolau 

Publication date: 29 April 2011

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2010.11.012

zbMATH Keywords

stochastic differential equationmean reversionPPP

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Trade models (91B60)

Cites Work

• ARCH models as diffusion approximations
• Title not available (Why is that?)
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• A new technique for simulating the likelihood of stochastic differential equations
• On the speed of adjustment in ESTAR models when allowance is made for bias in estimation

Cited In (2)

• A simple nonparametric method to estimate the expected time to cross a threshold
• Price Level Convergence, Purchasing Power Parity and Multiple Structural Breaks in Panel Data Analysis: An Application to U.S. Cities

Uses Software

• ESTAR

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