Temporal aggregation of an ESTAR process
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Ivan Paya; David A. Peel
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Article
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2006
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John Wiley and Sons
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English
โ 123 KB
## Abstract Nonlinear models of deviations from PPP have recently provided an important, theoretically well motivated, contribution to the PPP puzzle. Most of these studies use temporally aggregated data to empirically estimate the nonlinear models. As noted by Taylor (2001), if the true DGP is non