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

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

No 10614, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Three potential sources of bias present complications for estimating the half-life of purchasing power parity deviations from panel data. They are the bias associated with inapproiate aggregation across heterogeneous coefficients, time aggregation of commodity prices, and downward bias in estimation of dynamic lag coefficients. Each of these biases have been addressed individually in the literature. In this paper, we address all three biases in arriving at our estimates. Analyzing an annual panel data set of real exchange rates for 21 OECD countries from 1948 to 2002, our point estimate of the half-life is 5.5 years.

JEL-codes: C32 F31 (search for similar items in EconPapers)
Date: 2004-07
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ifn
Note: IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

Published as Choi, Chi-Young, Nelson C. Mark and Donggyu Sul. "Unbiased Estimation Of The Half-Life To PPP Convergence In Panel Data," Journal of Money, Credit and Banking, 2006, v38(4,Jun), 921-938.

Downloads: (external link)
http://www.nber.org/papers/w10614.pdf (application/pdf)

Related works:
Journal Article: Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data (2006)
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:nbr:nberwo:10614

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w10614

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().