The purchasing power parity puzzle, temporal aggregation, and half-life estimation

被引：5

作者：

Chambers, MJ ^{[1
]}

机构：

[1] Univ Essex, Dept Econ, Colchester CO4 3SQ, Essex, England

来源：

ECONOMICS LETTERS | 2005年 / 86卷 / 02期

关键词：

temporal aggregation; half-life estimation;

D O I：

10.1016/j.econlet.2004.07.011

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We show, analytically, that ordinary least square (OLS)-based estimates of the half-life in a temporally aggregated AR(1) model suffer from large asymptotic biases. We then demonstrate, via simulations, that accurate estimates of half-lives can be obtained in finite samples using temporally aggregated data. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：193 / 198

页数：6

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