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. DOI https://doi.org/10.1111/j.1468-2354.2006.00389.x
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. DOI https://doi.org/10.1111/j.1468-2354.2006.00389.x
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. DOI https://doi.org/10.1111/j.1468-2354.2006.00389.x
Abstract
<jats:p>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 <jats:ext-link xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="#b6">Gardeazabal, Regúlez, and Vázquez</jats:ext-link> (<jats:italic>International Economic Review</jats:italic> 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.</jats:p>
| Item Type: | Article |
|---|---|
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Economics, Department of |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 07 Jul 2012 22:41 |
| Last Modified: | 30 Oct 2024 19:38 |
| URI: | http://repository.essex.ac.uk/id/eprint/2774 |