Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data

Chi-Young Choi (), Nelson Mark () and Donggyu Sul ()

Journal of Money, Credit and Banking, 2006, vol. 38, issue 4, pages 921-938

Abstract: Three potential sources of bias introduce complications for panel data estimation of the half-life of purchasing power parity deviations. They are bias induced by inappropriate cross-sectional aggregation of heterogeneous coefficients, small-sample estimation bias of dynamic lag coefficients, and bias induced by time aggregation of commodity prices. All of these biases have been addressed individually in the literature. In this paper, we address all three biases in arriving at our estimates. Using an annual panel data set of CPI-based real exchange rates for 21 OECD countries from 1973 to 1998, we obtain a point estimate of the unbiased half-life of 3.0 years with a 95% confidence interval of 2.3-4.2 years.

Date: 2006
View citations in EconPapers

Downloads: (external link)
http://dx.doi.org/10.1353/mcb.2006.0052 full text (application/pdf)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:mcb:jmoncb:v:38:y:2006:i:4:p:921-938

Access Statistics for this article

Journal of Money, Credit and Banking is edited by Pok-Sang Lam, Deborah Lucas, Masao Ogaki and Kenneth D. West

More articles in Journal of Money, Credit and Banking from Blackwell Publishing
Series data maintained by Christopher F. Baum ().