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.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.en
  • dc.format.mimetype application/pdf
  • 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.doi http://dx.doi.org/10.1198/073500105000000027
  • dc.identifier.issn 0735-0015
  • dc.identifier.uri http://hdl.handle.net/10230/36404
  • 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.rights.accessRights info:eu-repo/semantics/openAccess
  • dc.subject.keyword Half-life
  • dc.subject.keyword Persistence
  • dc.subject.keyword Purchasing power parity
  • dc.subject.keyword Roots close to unity
  • dc.title Confidence intervals for half-life deviations from purchasing power parity
  • dc.type info:eu-repo/semantics/article
  • dc.type.version info:eu-repo/semantics/acceptedVersion