MEASURING HALF-LIVES USING A NON-PARAMETRIC BOOTSTRAP APPROACH

Guglielmo Maria Caporale, Mario Cerrato and Nicola Spagnolo

Public Policy Discussion Papers from Economics and Finance Section, School of Social Sciences, Brunel University

Abstract: In this paper we extend the Murray and Papell (2002) study by using a non-parametric bootstrap approach which allows for non-normality, and focusing on quarterly real exchange rate in twenty OECD countries in the post-1973 floating period. We run Augmented Dickey-Fuller (ADF) regressions, and estimate the half-lives (and confidence intervals) from the corresponding impulse response functions. Further, we use an approximately median-unbiased estimator of the autoregressive parameters, and report the implied point estimates and confidence intervals. We find that accounting for nonnormality results in even higher estimates of the degree of persistence of PPP deviations,but, as in Murray and Papell (2002), the confidence intervals are so wide that no strong conclusions are warranted on the existence of a PPP puzzle.

Pages: 9 pages
Date: 2004-09
New Economics Papers: this item is included in nep-ecm
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.brunel.ac.uk/329/efwps/04-13.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.brunel.ac.uk/329/efwps/04-13.pdf [301 Moved Permanently]--> https://www.brunel.ac.uk/329/efwps/04-13.pdf)

Related works:
Working Paper: MEASURING HALF-LIVES USING A NON-PARAMETRIC BOOTSTRAP APPROACH (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: https://EconPapers.repec.org/RePEc:bru:bruppp:04-13

Access Statistics for this paper

More papers in Public Policy Discussion Papers from Economics and Finance Section, School of Social Sciences, Brunel University Brunel University, Uxbridge, Middlesex UB8 3PH, UK.
Bibliographic data for series maintained by John.Hunter ().