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The purchasing power parity puzzle, temporal aggregation, and half-life estimation

Chambers, MJ (2005) 'The purchasing power parity puzzle, temporal aggregation, and half-life estimation.' Economics Letters, 86 (2). 193 - 198. ISSN 0165-1765

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Abstract

We show, analytically, that ordinary least square (OLS)-based estimates of the half-life in a temporally aggregated AR(1) model suffer from large asymptotic biases. We then demonstrate, via simulations, that accurate estimates of half-lives can be obtained in finite samples using temporally aggregated data. © 2004 Elsevier B.V. All rights reserved.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 08 Jul 2012 09:30
Last Modified: 05 Feb 2019 18:15
URI: http://repository.essex.ac.uk/id/eprint/2762

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