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- W1549202590 abstract "We derive saddlepoint approximations for the density and distribution functions of the half-life estimated by OLS from an AR(1) or AR(p) model. Our analytic results are used to prove that none of the integer-order moments of these half-life estimators exist. This provides an explanation for the unreasonably large estimates of persistency associated with the purchasing power parity “puzzle”, and it also explains the excessively wide confidence intervals reported in the empirical PPP literature." @default.
- W1549202590 created "2016-06-24" @default.
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- W1549202590 date "2007-05-28" @default.
- W1549202590 modified "2023-09-27" @default.
- W1549202590 title "A Saddlepoint Approximation to the Distribution of the Half-Life Estimator in an Autoregressive Model: New Insights Into the PPP Puzzle" @default.
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