Confidence Intervals for Half-Life Deviations From Purchasing Power Parity

By Barbara Rossi. 2005

153 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/50b0bba203ae22ec5ba67eea99a3cf14fd718394

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Citations in the corpus

Inflation Persistence: Facts or Artefacts? (2004, unknown): “8 Rossi (2001) derives an asymptotically correct formula for the half-life of an AR(p) process with a root close to unity.”
The link between life insurance activities and economic growth: Some new evidence (2013, background): “Since h cannot be negative, we impose a lower bound of zero (see Rossi (2005) for more details).”
The persistence of inflation in the United States (2007, methodology): “ Andrews and Chen (1994) describe a procedure to obtain finite-sample approximately median unbiased estimates of the parameters in Eq. (8) assuming a normal distribution for the errors et. The procedure is again iterative: given the initial least squares estimates of f1; ... ;fk� 1, we define the a”
Exchange Rate Predictability (2013, unknown): “The robustness of Mark s (1995) ndings has, however, been questioned by Berkowitz and Giorgianni (2001), Kilian (1999), Groen (1999), Faust et al. (2003) and Rossi (2005a).”
State of the Art Unit Root Tests and the PPP Puzzle (2003, methodology): “In Murray and Papell (2002) and Rossi (2002), the confidence intervals for half-lives are so wide that they are consistent with virtually anything.”
Asymptotic confidence intervals for impulse responses of near‐integrated processes (2004, unknown): “For higher-order AR models with a root near unity, Rossi (2004) showed that l = [δT ] + o(1).”
Real exchange rates and Purchasing Power Parity: mean-reversion in economic thought (2006, methodology): “Rossi (2002) uses the Elliott and Stock (2001) test to calculate bias-corrected confidence intervals for half-lives of PPP deviations for post-1973 quarterly US real exchange rates against 17 countries.”
International Prices and Exchange Rates (2013, unknown): “Also as documented in Murray and Papell (2002) and Rossi (2005) the confidence intervals on the half live estimates are very wide.”
The International Price System (2015, methodology): “I use monthly data for the 20- year period from January 1994-June 2014 to examine the impact of currency denomination on pass-through into U.S. import prices.”