Intranational Price Convergence and Price Stickiness: Evidence from Denmark
研究发现，在汇总不同商品价格数据时，若不考虑估计精度，一价定律偏离的半衰期估计会有偏。使用丹麦1997-2010年124种同质产品的月度数据，校正偏差后半衰期平均为8.4个月，而标准方法为28.7个月。
Abstract We show that estimates of the half‐life of deviations from the law of one price are biased when their precision is not taken into account when aggregating data for different types of goods. Using a comprehensive dataset with monthly price data for 124 homogeneous products across regions in Denmark over the period 1997–2010, we find a large positive aggregation bias. On average, we find that the half‐life is 8.4 months when taking the bias into account, compared with 28.7 months when applying the standard method. The heterogeneity in the estimated half‐life can be explained by price stickiness, distance between regions, and whether the good is traded or non‐traded.