Omitted variables, confidence intervals, and the productivity of exchange rates

Research output: Contribution to journalArticle

8 Citations (Scopus)

Abstract

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.

Original languageEnglish (US)
Pages (from-to)15-45
Number of pages31
JournalPacific Economic Review
Volume12
Issue number1
DOIs
StatePublished - Feb 1 2007

Fingerprint

rate of exchange
multiplier
exchange rate
confidence interval
confidence
Productivity
productivity
gross domestic product
Gross Domestic Product
analytical method
Least squares
Exchange rates
Omitted variables
Confidence interval
time
Multiplier

ASJC Scopus subject areas

  • Economics and Econometrics

Cite this

Omitted variables, confidence intervals, and the productivity of exchange rates. / Leightner, Jonathan E.

In: Pacific Economic Review, Vol. 12, No. 1, 01.02.2007, p. 15-45.

Research output: Contribution to journalArticle

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