Cashin, Paul; McDermott, C. John - In: IMF Staff Papers 50 (2003) 3, pp. 1-1
Univariate studies of the hypothesis of unit roots in real exchange rates have yielded consensus point estimates of the half-life of deviations from purchasing power parity (PPP) of between three to five years (Rogoff, 1996). However, conventional least-squares-based estimates of half-lives are...