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A Jackknife Model Averaging Analysis of RMB Misalignment Estimates

A Jackknife Model Averaging Analysis of RMB Misalignment Estimates We adopt the Jackknife Model Averaging (JMA) technique to conduct a meta-regression analysis of 925 renminbi (RMB) misalignment estimates generated by 69 studies. The JMA method accounts for model selection and sampling uncertainties, and allows for non-nested model specifications and heteroskedasticity in assessing effects of study characteristics. The RMB misalignment estimates are found to be systematically affected by the choices of data, the theoretical setup and the empirical strategy, in addition to publication attributes of these studies. These study characteristic effects are quite robust to the choice of benchmark study characteristics, to alternative model averaging methods including the heteroskedasticity-robust Mallows approach, the information criterion approach, and the Bayesian model averaging. In evaluating the probabilistic property of RMB misalignment estimates implied by hypothetical composites of study characteristics, we find the evidence of a misaligned RMB, in general, is weak. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of International Commerce, Economics and Policy World Scientific Publishing Company

A Jackknife Model Averaging Analysis of RMB Misalignment Estimates

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Publisher
World Scientific Publishing Company
ISSN
1793-9933
eISSN
1793-9941
DOI
10.1142/S1793993320500076
Publisher site
See Article on Publisher Site

Abstract

We adopt the Jackknife Model Averaging (JMA) technique to conduct a meta-regression analysis of 925 renminbi (RMB) misalignment estimates generated by 69 studies. The JMA method accounts for model selection and sampling uncertainties, and allows for non-nested model specifications and heteroskedasticity in assessing effects of study characteristics. The RMB misalignment estimates are found to be systematically affected by the choices of data, the theoretical setup and the empirical strategy, in addition to publication attributes of these studies. These study characteristic effects are quite robust to the choice of benchmark study characteristics, to alternative model averaging methods including the heteroskedasticity-robust Mallows approach, the information criterion approach, and the Bayesian model averaging. In evaluating the probabilistic property of RMB misalignment estimates implied by hypothetical composites of study characteristics, we find the evidence of a misaligned RMB, in general, is weak.

Journal

Journal of International Commerce, Economics and PolicyWorld Scientific Publishing Company

Published: Jun 1, 2020

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