Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity
AbstractMany economic time series are charecterized by high persistence which typically requires nonstandard limit theory for inference. This paper proposes a new method for constructing confidence intervals for the impulse response functions of nearly nonstationary processes. The method is based on inverting the acceptance region of the LR statistic evaluated under a sequence of null hypotheses of possible values for the impulse response. Under the null, the LR statistic can be represented as a ratio of functionals of Ornstein-Uhlenbeck processes and its asymptotic quantiles can be simulated easily. The method is extended to multivariate processes with near-unit roots. The empirical results for the real exchange rates show some support for 3-5 year half-lives reported by Rogoff (1996).
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2001 with number 136.
Date of creation: 01 Apr 2001
Date of revision:
Contact details of provider:
Web page: http://www.econometricsociety.org/conference/SCE2001/SCE2001.html
More information through EDIRC
impulse responses; near-integrated processes; local-to-unity asymptotics; purchasing power parity;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Rossi, Barbara, 2005.
"Confidence Intervals for Half-Life Deviations From Purchasing Power Parity,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 23, pages 432-442, October.
- Rossi, Barbara, 2002. "Confidence Intervals for Half-life Deviations from Purchasing Power Parity," Working Papers 02-08, Duke University, Department of Economics.
- Sofiane H. Sekioua, 2004. "Real interest parity (RIP) over the 20th century: New evidence based on confidence intervals for the dominant root and half-lives of shocks," Money Macro and Finance (MMF) Research Group Conference 2004 91, Money Macro and Finance Research Group.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If references are entirely missing, you can add them using this form.