Quantifying the uncertainty about the half‐life of deviations from PPP
提出贝叶斯框架来量化购买力平价偏离半衰期的不确定性，基于调查设定先验分布，发现半衰期存在显著不确定性，且罗戈夫3-5年假说未获数据强支持。
Abstract We propose a Bayesian framework in which the uncertainty about the half‐life of deviations from purchasing power parity can be quantified. Based on the responses to a survey study, we propose a prior probability distribution for the half‐life under the recent float intended to capture widely held views among economists. We derive the posterior probability distribution of the half‐life under this consensus prior and confirm the presence of substantial uncertainty about the half‐life. We provide for the first time a comprehensive formal evaluation of several nonnested hypotheses of economic interest, including Rogoff's ( 1996 ) claim that the half‐life is contained in the range of 3 to 5 years. We find that no hypothesis receives strong support from the data. Copyright © 2002 John Wiley & Sons, Ltd.