Chambers, Marcus J and McCrorie, J Roderick (2006) 'IDENTIFICATION AND ESTIMATION OF EXCHANGE RATE MODELS WITH UNOBSERVABLE FUNDAMENTALS*.' International Economic Review, 47 (2). pp. 573-582. ISSN 0020-6598
Full text not available from this repository.Abstract
This article is concerned with issues of model specification, identification, and estimation in exchange rate models with unobservable fundamentals. We show that the continuous-time model proposed by Gardeazabal, Regúlez, and Vázquez (International Economic Review 38 (1997), 389-404) is not identified and that this property is characteristic of the discrete-time representation of the model that they used as the basis for estimation by simulated method of moments. We briefly discuss the implications of this result in the context of the asset-market model of exchange rates with unobservable fundamentals.
Item Type: | Article |
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Subjects: | H Social Sciences > HB Economic Theory |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Economics, Department of |
SWORD Depositor: | Elements |
Depositing User: | Elements |
Date Deposited: | 07 Jul 2012 22:41 |
Last Modified: | 15 Jan 2022 00:22 |
URI: | http://repository.essex.ac.uk/id/eprint/2774 |
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