Kim, Jae; Silvapulle, Param; Hyndman, Rob J. - Department of Econometrics and Business Statistics, … - 2006
The half-life is defined as the number of periods required for the impulse response to a unit shock to a time series to dissipate by half. It is widely used as a measure of persistence, especially in international economics to quantify the degree of mean reversion of the deviation from an...