TY - JOUR
T1 - Omitted variables, confidence intervals, and the productivity of exchange rates
AU - Leightner, Jonathan E.
PY - 2007/2
Y1 - 2007/2
N2 - A new analytical technique, named 'Bi-Directional Reiterative Truncated Projected Least Squares' (BD-RTPLS), produces reduced form estimations and less than half the error of OLS when there are omitted variables that interact with included variables. This paper develops confidence intervals for BD-RTPLS and uses BD-RTPLS to estimate the relationship between the exchange rate (e) and gross domestic product (GDP) using annual data from 1984 to 2000 for 23 developing Asian and Pacific countries. BD-RTPLS produces estimates for the exchange rate multiplier (dGDP/de) for these countries and shows how omitted variables affected these multipliers across countries and over time.
AB - A new analytical technique, named 'Bi-Directional Reiterative Truncated Projected Least Squares' (BD-RTPLS), produces reduced form estimations and less than half the error of OLS when there are omitted variables that interact with included variables. This paper develops confidence intervals for BD-RTPLS and uses BD-RTPLS to estimate the relationship between the exchange rate (e) and gross domestic product (GDP) using annual data from 1984 to 2000 for 23 developing Asian and Pacific countries. BD-RTPLS produces estimates for the exchange rate multiplier (dGDP/de) for these countries and shows how omitted variables affected these multipliers across countries and over time.
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U2 - 10.1111/j.1468-0106.2007.00337.x
DO - 10.1111/j.1468-0106.2007.00337.x
M3 - Article
AN - SCOPUS:33846898250
SN - 1361-374X
VL - 12
SP - 15
EP - 45
JO - Pacific Economic Review
JF - Pacific Economic Review
IS - 1
ER -