Using median-unbiased estimation, recent research has questioned the validity of Rogoff’s “remarkable consensus” of 3-5 year half-lives of deviations from PPP. These estimates, however, are based on unit root tests with low power. We extend median-unbiased estimation to the efficient unit...

Using median-unbiased estimation based on Augmented Dickey--Fuller (ADF) regressions, recent research has questioned the validity of Rogoff's ‘remarkable consensus’ of 3--5 year half-lives of deviations from Purchasing Power Parity (PPP). The confidence intervals of these half-life...

Using median-unbiased estimation, recent research has questioned the validity of Rogoff’s “remarkable consensus” of 3-5 year half-lives of deviations from PPP. These half-life estimates, however, are based on estimates from regressions where the resulting unit root test has low power. We...

Measuring deviations from purchasing power parity has been the subject of extensive investigation. The most common practice in empirical research for measuring real exchange rate persistence is to estimate univariate autoregressive (AR) time series models and calculate the half-life, defined as...

We test for a unit root in postwar unemployment rates for sixteen OECD countries. When a one-time structural break is incorporated, the unit root hypothesis can be rejected for most of the countries and the measured persistence of unemployment falls dramatically. We then test for multiple...