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Additional sources of bias in half-life estimation

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  • Seong, Byeongchan
  • Mahbub Morshed, A.K.M.
  • Ahn, Sung K.

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File URL: http://www.sciencedirect.com/science/article/B6V8V-4J0X3M6-3/2/c71db5e500208953700c729da9dbd15f
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Bibliographic Info

Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 51 (2006)
Issue (Month): 3 (December)
Pages: 2056-2064

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Handle: RePEc:eee:csdana:v:51:y:2006:i:3:p:2056-2064

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Web page: http://www.elsevier.com/locate/csda

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References

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  1. Shiu-Sheng Chen & Charles Engel, 2004. "Does "Aggregation Bias" Explain the PPP Puzzle?," NBER Working Papers 10304, National Bureau of Economic Research, Inc.
  2. Andrews, Donald W K, 1993. "Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models," Econometrica, Econometric Society, vol. 61(1), pages 139-65, January.
  3. John Y. Campbell & N. Gregory Mankiw, 1986. "Are Output Fluctuations Transitory?," NBER Working Papers 1916, National Bureau of Economic Research, Inc.
  4. Taylor, Alan M, 2001. "Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price," Econometrica, Econometric Society, vol. 69(2), pages 473-98, March.
  5. Imbs, Jean & Mumtaz, Haroon & Ravn, Morten O. & Rey, Hélène, 2003. "PPP Strikes Back: Aggregation and the Real Exchange Rate," CEPR Discussion Papers 3715, C.E.P.R. Discussion Papers.
  6. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  7. Chambers, Marcus J., 2005. "The purchasing power parity puzzle, temporal aggregation, and half-life estimation," Economics Letters, Elsevier, vol. 86(2), pages 193-198, February.
  8. Murray, Christian J. & Papell, David H., 2002. "The purchasing power parity persistence paradigm," Journal of International Economics, Elsevier, vol. 56(1), pages 1-19, January.
  9. Morshed, A.K.M. Mahbub & Ahn, Sung K. & Lee, Minsoo, 2006. "Price convergence among Indian cities: A cointegration approach," Journal of Asian Economics, Elsevier, vol. 17(6), pages 1030-1043, December.
  10. Ken Froot & Kenneth Rogoff, . "Perspectives on PPP and Long-Run Real Exchange Rates," Working Paper 32027, Harvard University OpenScholar.
  11. Chen, L. L. & Devereux, J., 2003. "What can US city price data tell us about purchasing power parity?," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 213-222, April.
  12. Chi-Young Choi & Nelson Mark & Donggyu Sul, 2004. "Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data," NBER Working Papers 10614, National Bureau of Economic Research, Inc.
  13. Yin-Wong Cheung & Kon S. Lai, 1999. "On Cross-Country Differences in the Persistence of Real Exchange Rates," CESifo Working Paper Series 218, CESifo Group Munich.
  14. Stephen G. Cecchetti & Nelson C. Mark & Robert J. Sonora, 2002. "Price Index Convergence Among United States Cities," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 43(4), pages 1081-1099, November.
  15. Cheung, Yin-Wong & Lai, Kon S., 2000. "On the purchasing power parity puzzle," Journal of International Economics, Elsevier, vol. 52(2), pages 321-330, December.
  16. Christian Murray & David Papell, 2005. "The purchasing power parity puzzle is worse than you think," Empirical Economics, Springer, vol. 30(3), pages 783-790, October.
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Citations

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Cited by:
  1. Clements, Kenneth & Lan, Yihui & Roberts, John, 2008. "Exchange-rate economics for the resources sector," Resources Policy, Elsevier, vol. 33(2), pages 102-117, June.
  2. Otero, Jesús, 2011. "The Long-Run Behaviour of the Terms of Trade between Primary Commodities and Manufactures," Working Paper Series UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER).
  3. Rachel Male, 2010. "Business Cycle Persistence in Developing Countries: How Successful is a DSGE Model with a Vertical Production Chain and Sticky Prices?," Working Papers 672, Queen Mary, University of London, School of Economics and Finance.
  4. Ana María Iregui & Jesús Otero, 2013. "A Spatiotemporal Analysis of Agricultural Prices: An Application to Colombian Data," Agribusiness, John Wiley & Sons, Ltd., vol. 29(4), pages 497-508, 09.
  5. Zhang, Zibin & Wetzstein, Michael E., 2008. "New relationships: ethanol, corn, and gasoline volatility," Transition to a Bio Economy Conferences, Risk, Infrastructure and Industry Evolution Conference, June 24-25, 2008, Berkeley, California 48718, Farm Foundation.
  6. Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2013. "Modelling the Behaviour of Unemployment Rates in the US over Time and across Space," Working Paper Series 39_13, The Rimini Centre for Economic Analysis.
  7. Myers, Robert J., 2013. "Evaluating the effectiveness of inter-regional trade and storage in Malawi’s private sector maize markets," Food Policy, Elsevier, vol. 41(C), pages 75-84.
  8. Ana Iregui & Jesús Otero, 2013. "The long-run behaviour of the terms of trade between primary commodities and manufactures: a panel data approach," Portuguese Economic Journal, Springer, vol. 12(1), pages 35-56, April.
  9. Wimanda, Rizki E., 2009. "Price variability and price convergence: Evidence from Indonesia," Journal of Asian Economics, Elsevier, vol. 20(4), pages 427-442, September.

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