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Confidence intervals for half-life deviations from purchasing power parity

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dc.contributor.author Rossi, Barbara, 1971-
dc.date.accessioned 2019-01-23T11:32:39Z
dc.date.available 2019-01-23T11:32:39Z
dc.date.issued 2005
dc.identifier.citation Rossi B. Confidence intervals for half-life deviations from purchasing power parity. J Bus Econ Stat. 2005;23(4):432-42. DOI: 10.1198/073500105000000027
dc.identifier.issn 0735-0015
dc.identifier.uri http://hdl.handle.net/10230/36404
dc.description.abstract Existing point estimates of half-life deviations from purchasing power parity (PPP), around 3–5 years, suggest that the speed of convergence is extremely slow. This article assesses the degree of uncertainty around these point estimates by using local-to-unity asymptotic theory to construct confidence intervals that are robust to high persistence in small samples. The empirical evidence suggests that the lower bound of the confidence interval is between four and eight quarters for most currencies, which is not inconsistent with traditional price-stickiness explanations. However, the upper bounds are infinity for all currencies, so we cannot provide conclusive evidence in favor of PPP either.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Taylor & Francis
dc.relation.ispartof Journal of Business & Economic Statistics. 2005;23(4):432-42.
dc.rights © Taylor & Francis. This is an electronic version of an article published in Rossi B. Confidence intervals for half-life deviations from purchasing power parity. J Bus Econ Stat. 2005;23(4):432-42. Journal of Business and Economic Statistics is available online at: https://doi.org/10.1198/073500105000000027
dc.title Confidence intervals for half-life deviations from purchasing power parity
dc.type info:eu-repo/semantics/article
dc.identifier.doi http://dx.doi.org/10.1198/073500105000000027
dc.subject.keyword Half-life
dc.subject.keyword Persistence
dc.subject.keyword Purchasing power parity
dc.subject.keyword Roots close to unity
dc.rights.accessRights info:eu-repo/semantics/openAccess
dc.type.version info:eu-repo/semantics/acceptedVersion

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