Confidence Intervals for Half-Life Deviations From Purchasing Power Parity
Confidence Intervals for Half-Life Deviations From Purchasing Power Parity
复制标题
半衰期偏离购买力平价的置信区间
DOI：
10.1198/073500105000000027
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发表时间：
2005
影响因子：
3
通讯作者：
B. Rossi
中科院分区：
文献类型：
--
作者：
B. Rossi
现有的半衰期偏离购买力平价(PPP)的点估计约为3-5年，这表明趋同的速度极其缓慢。本文通过使用局部到单位渐近理论来评估围绕这些点估计的不确定性程度，以构造在小样本中对高持久性具有稳健性的置信度区间。经验证据表明，大多数货币的信心区间下限在四到八个季度之间，这与传统的价格粘性解释并不矛盾。然而，所有货币的上限都是无穷大的，因此我们也不能提供支持购买力平价的确凿证据。
Existing point estimates of half-life deviations from purchasing power parity (PPP), around 3–5 years, suggest that the speed of convergence is extremely slow. This article assesses the degree of uncertainty around these point estimates by using local-to-unity asymptotic theory to construct confidence intervals that are robust to high persistence in small samples. The empirical evidence suggests that the lower bound of the confidence interval is between four and eight quarters for most currencies, which is not inconsistent with traditional price-stickiness explanations. However, the upper bounds are infinity for all currencies, so we cannot provide conclusive evidence in favor of PPP either.