Confidence Intervals for Half-Life Deviations From Purchasing Power Parity
用局部单位根渐近理论构建置信区间，评估购买力平价半衰期估计的不确定性。发现多数货币的下界为4-8个季度，但上界无穷，无法确证购买力平价。
Existing point estimates of half-life deviations from purchasing power parity (PPP), around 3–5 years, suggest that the speed of convergence is extremely slow. This article assesses the degree of uncertainty around these point estimates by using local-to-unity asymptotic theory to construct confidence intervals that are robust to high persistence in small samples. The empirical evidence suggests that the lower bound of the confidence interval is between four and eight quarters for most currencies, which is not inconsistent with traditional price-stickiness explanations. However, the upper bounds are infinity for all currencies, so we cannot provide conclusive evidence in favor of PPP either.