Incorporating relevant multivariate information for characterizing half-life with an application to purchasing power parity

Benjamin Wong

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: Half-lives are summary measures of persistence, and are usually characterized from impulse response functions (IRFs) of univariate time series models. Two issues which occur with half-life characterization in multivariate time series are IRFs become conditional on specific shocks and are often also not uniquely identified. I introduce an approach for characterizing the half-life in multivariate time series models which circumvents both issues. An empirical application suggests the half-life of the real exchange rate estimated from multivariate models is generally longer relative to univariate models.

Keywords: Half-Life; Purchasing Power Parity; Multivariate Information (search for similar items in EconPapers)
JEL-codes: C31 F41 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2017-07
New Economics Papers: this item is included in nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2017-47

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