Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment
研究时间聚合对ESTAR模型估计的影响，发现如果真实数据生成过程是非线性的，时间聚合数据可能对调整速度产生误导，对研究购买力平价谜题有用。
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 nonlinear, the temporally aggregated data could exhibit misleading properties regarding the adjustment speeds. We examine the effects of different levels of temporal aggregation on estimates of ESTAR models of real exchange rates. Copyright © 2006 John Wiley & Sons, Ltd.