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

DOI10.1016/J.ECONLET.2010.11.012MaRDI QIDQ531392zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 1168350 (Why is no real title available?)
• scientific article; zbMATH DE number 195227 (Why is no real title available?)
• A new technique for simulating the likelihood of stochastic differential equations
• ARCH models as diffusion approximations
• 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

Describes a project that uses

Uses Software

• ESTAR

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