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useful way of summarizing the persistence in a panel data set, as well as a complement to more traditional panel unit root …
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This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile … regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the … development of a novel test for panel QR misspecification based on detecting CSD. The test possesses a standard normal limiting …
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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 extend...
Persistent link: https://www.econbiz.de/10014074116
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 PPP. The confidence intervals of these half-life estimates, however, are extremely wide,...
Persistent link: https://www.econbiz.de/10014179427
This note presents a nonparametric Bayesian approach to fitting a distribution to the survey data provided in Kilian and Zha (2002) regarding the prior for the half-life of deviations from purchasing power parity (PPP). A point mass at infinity is included. The unknown density is represented as...
Persistent link: https://www.econbiz.de/10011403123
This paper sets out to analyse the ever-growing literature on equilibrium exchange rates in the new EU member states of Central and Eastern Europe in a quantitative manner using meta-regression analysis. We study the extent to which the estimated real misalignments reported in the literature...
Persistent link: https://www.econbiz.de/10014067213