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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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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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References

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  1. 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.
  2. Cheung, Yin-Wong & Lai, Kon S., 2000. "On cross-country differences in the persistence of real exchange rates," Journal of International Economics, Elsevier, vol. 50(2), pages 375-397, April.
  3. Kenneth A. Froot & Kenneth Rogoff, 1994. "Perspectives on PPP and Long-Run Real Exchange Rates," NBER Working Papers 4952, 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. Shiu-Sheng Chen & Charles Engel, 2005. "Does 'Aggregation Bias' Explain The Ppp Puzzle?," Pacific Economic Review, Wiley Blackwell, vol. 10(1), pages 49-72, 02.
  6. Jean Imbs & Haroon Mumtaz & Morton O. Ravn & Helene Rey, 2002. "PPP Strikes Back: Aggregation and the Real Exchange Rate," NBER Working Papers 9372, National Bureau of Economic Research, Inc.
  7. 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.
  8. Campbell, John & Mankiw, Gregory, 1987. "Are Output Fluctuations Transitory?," Scholarly Articles 3122545, Harvard University Department of Economics.
  9. 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.
  10. 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.
  11. 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.
  12. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
  13. 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.
  14. Choi, Chi-Young & Mark, Nelson C. & Sul, Donggyu, 2006. "Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(4), pages 921-938, June.
  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. 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.
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Cited by:
  1. Wimanda, Rizki E., 2009. "Price variability and price convergence: Evidence from Indonesia," Journal of Asian Economics, Elsevier, vol. 20(4), pages 427-442, September.
  2. Mark J. Holmes & Jesus Otero & Theodore Panagiotidis, 2013. "Modelling the behaviour of unemployment rates in the US over time and across space," Koç University-TUSIAD Economic Research Forum Working Papers 1315, Koc University-TUSIAD Economic Research Forum.
  3. Clements, Kenneth & Lan, Yihui & Roberts, John, 2008. "Exchange-rate economics for the resources sector," Resources Policy, Elsevier, vol. 33(2), pages 102-117, June.
  4. 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.
  5. 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).
  6. 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.
  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. 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.
  9. Ana Maria Iregui & Jesús Otero, 2012. "A spatio-temporal analysis of agricultural prices: An application to Colombian data," Borradores de Economia 734, Banco de la Republica de Colombia.

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