Chambers, Marcus J (2005) The purchasing power parity puzzle, temporal aggregation, and half-life estimation. Economics Letters, 86 (2). pp. 193-198. DOI https://doi.org/10.1016/j.econlet.2004.07.011
Chambers, Marcus J (2005) The purchasing power parity puzzle, temporal aggregation, and half-life estimation. Economics Letters, 86 (2). pp. 193-198. DOI https://doi.org/10.1016/j.econlet.2004.07.011
Chambers, Marcus J (2005) The purchasing power parity puzzle, temporal aggregation, and half-life estimation. Economics Letters, 86 (2). pp. 193-198. DOI https://doi.org/10.1016/j.econlet.2004.07.011
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 |
|---|---|
| Uncontrolled Keywords: | temporal aggregation; half-life estimation |
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Economics, Department of |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 08 Jul 2012 09:30 |
| Last Modified: | 04 Dec 2024 06:11 |
| URI: | http://repository.essex.ac.uk/id/eprint/2762 |