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

DOI10.1016/j.econlet.2010.11.012zbMath1210.91104OpenAlexW1971446254MaRDI QIDQ531392

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)

Related Items (1)

A simple nonparametric method to estimate the expected time to cross a threshold

Uses Software

• ESTAR

Cites Work

• On the speed of adjustment in ESTAR models when allowance is made for bias in estimation
• ARCH models as diffusion approximations
• A new technique for simulating the likelihood of stochastic differential equations
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