On the speed of adjustment in ESTAR models when allowance is made for bias in estimation

被引：6

作者：

Paya, I ^{[1
]}

Peel, DA

机构：

[1] Univ Alicante, Dept Fundamentos Anal Econ, Taigu 03080, Peoples R China

[2] Univ Lancaster, Sch Management, Lancaster LA1 4YX, England

来源：

ECONOMICS LETTERS | 2006年 / 90卷 / 02期

关键词：

ESTAR; bias; bootstrapping;

D O I：

10.1016/j.econlet.2005.08.014

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The purpose of this letter is to show, via simulation and bootstrap methods, that the estimates of the speed of adjustment parameter obtained in ESTAR models of the real exchange rate are upward biased in sample sizes typically employed in empirical work. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：272 / 277

页数：6

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