Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data
同时纠正了面板数据估计购买力平价偏离半衰期时的三种偏差，使用21个OECD国家1973-1998年的年度数据，得到无偏半衰期点估计为3.0年，95%置信区间为2.3-4.2年。
Three potential sources of bias introduce complications for panel data estimation of the half-life of purchasing power parity deviations. They are bias induced by inappropriate cross-sectional aggregation of heterogeneous coefficients, small-sample estimation bias of dynamic lag coefficients, and bias induced by time aggregation of commodity prices. All of these biases have been addressed individually in the literature. In this paper, we address all three biases in arriving at our estimates. Using an annual panel data set of CPI-based real exchange rates for 21 OECD countries from 1973 to 1998, we obtain a point estimate of the unbiased half-life of 3.0 years with a 95% confidence interval of 2.3-4.2 years.