01-105/4 - A Bayesian Analysis of the PPP Puzzle using an Unobserved Components Model
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AuthorsRichard Kleijn, Econometric Institute, Erasmus University Rotterdam; Herman K. van Dijk, Econometric Institute, Erasmus University Rotterdam
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Publication dateNovember 20, 2001
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Keywordspurchasing power parity puzzle; real exchange rate; time-varying mean; Gibbs sampling
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JELC11; C32; C52; F30