Quantifying the uncertainty about the half-life of deviations from PPP
dc.contributor.author | Kilian, Lutz | en_US |
dc.contributor.author | Zha, Tao | en_US |
dc.date.accessioned | 2006-04-19T14:01:02Z | |
dc.date.available | 2006-04-19T14:01:02Z | |
dc.date.issued | 2002-03 | en_US |
dc.identifier.citation | Kilian, Lutz; Zha, Tao (2002)."Quantifying the uncertainty about the half-life of deviations from PPP." Journal of Applied Econometrics 17(2): 107-125. <http://hdl.handle.net/2027.42/34957> | en_US |
dc.identifier.issn | 0883-7252 | en_US |
dc.identifier.issn | 1099-1255 | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/34957 | |
dc.description.abstract | We propose a Bayesian framework in which the uncertainty about the half-life of deviations from purchasing power parity can be quantified. Based on the responses to a survey study, we propose a prior probability distribution for the half-life under the recent float intended to capture widely held views among economists. We derive the posterior probability distribution of the half-life under this consensus prior and confirm the presence of substantial uncertainty about the half-life. We provide for the first time a comprehensive formal evaluation of several nonnested hypotheses of economic interest, including Rogoff's ( 1996 ) claim that the half-life is contained in the range of 3 to 5 years. We find that no hypothesis receives strong support from the data. Copyright © 2002 John Wiley & Sons, Ltd. | en_US |
dc.format.extent | 163118 bytes | |
dc.format.extent | 3118 bytes | |
dc.format.mimetype | application/pdf | |
dc.format.mimetype | text/plain | |
dc.language.iso | en_US | |
dc.publisher | John Wiley & Sons, Ltd. | en_US |
dc.subject.other | Business, Finance & Management | en_US |
dc.title | Quantifying the uncertainty about the half-life of deviations from PPP | en_US |
dc.type | Article | en_US |
dc.rights.robots | IndexNoFollow | en_US |
dc.subject.hlbsecondlevel | Economics | en_US |
dc.subject.hlbsecondlevel | Mathematics | en_US |
dc.subject.hlbsecondlevel | Statistics and Numeric Data | en_US |
dc.subject.hlbtoplevel | Business | en_US |
dc.subject.hlbtoplevel | Science | en_US |
dc.subject.hlbtoplevel | Social Sciences | en_US |
dc.description.peerreviewed | Peer Reviewed | en_US |
dc.contributor.affiliationum | Department of Economics, University of Michigan, Ann Arbor, MI 48109-1220, USA and Centre for Economic Policy Research, London, UK ; Department of Economics, University of Michigan, Ann Arbor, MI 48109-1220, USA. | en_US |
dc.contributor.affiliationother | Research Department, Federal Reserve Bank of Atlanta, Atlanta, GA 30303, USA | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/34957/1/621_ftp.pdf | en_US |
dc.identifier.doi | http://dx.doi.org/10.1002/jae.621 | en_US |
dc.identifier.source | Journal of Applied Econometrics | en_US |
dc.owningcollname | Interdisciplinary and Peer-Reviewed |
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