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"Aggregation Bias" DOES Explain the PPP Puzzle
Imbs, Jean - 2005
This article summarizes our views on the role of an "aggregation bias" in explaining the PPP Puzzle, in response to the … counter-examples which are not empirically relevant; (ii) simulation results minimizing the extent of "aggregation bias"; (iii … corrections. We conclude, as in our original paper, that "aggregation bias" goes a long way towards explaining the PPP puzzle …
Persistent link: https://www.econbiz.de/10012467070
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Does "Aggregation Bias" Explain the PPP Puzzle?
Chen, Shiu-Sheng - 2004
aggregation bias'. This paper re-examines aggregation bias. First, it clarifies the meaning of aggregation bias and its … that heterogeneity and aggregation bias do not help to solve the PPP puzzle …
Persistent link: https://www.econbiz.de/10012468389
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Currency Unions, Product Introductions, and the Real Exchange Rate
Cavallo, Alberto - 2012
We use a novel dataset of online prices of identical goods sold by four large global retailers in dozens of countries to study good-level real exchange rates and their aggregated behavior. First, in contrast to the prior literature, we demonstrate that the law of one price holds very well within...
Persistent link: https://www.econbiz.de/10012460097
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Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data
Eichenbaum, Martin S. - 1987
In conducting empirical investigations of the permanent income model of consumption and the consumption-based intertemporal asset pricing model, various authors have imposed restrictions on the nature of the substitutability of consumption across goods and over time. In this paper we suggest a...
Persistent link: https://www.econbiz.de/10012476889
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Aggregation Effects And Panel Data Estimation Problems : An Investigationof the R&D Intensity Decision
Pakes, Ariel - 1979
.S. manufacturing differ markedly even though response parameters are similar across industries. A similar aggregation effect is noted … estimation procedures. Observationally equivalent aggregation results can be generated by errors in variables models (see Aigner …
Persistent link: https://www.econbiz.de/10012478804
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Selection Bias Adjustment in Treatment-Effect Models as a Method of Aggregation
Moffitt, Robert A. - 1996
econometrics as a method of aggregation and to draw the implications of this interpretation. In addition, the paper notes the … connection of this interpretation with an older style of analysis using grouped data and illustrates the aggregation analogy with …
Persistent link: https://www.econbiz.de/10012473295
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Consumer Durables and Inertial Behavior : Estimation and Aggregation of (S,s) Rules
Attanasio, Orazio P. - 1995
, aggregation issues are considered. First, the paper presents a number of negative results. Then, several simulations aimed at …
Persistent link: https://www.econbiz.de/10012473593
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On the Instability of Variance Decompositions of the Real Exchange Rate across Exchange-Rate-Regimes : Evidence from Mexico and the United States
Mendoza, Enrique G. - 2000
Variance decompositions of the Mexico-United States real exchange rate are examined using monthly data on consumer prices and the nominal exchange rate for the period January, 1969 to February, 2000. The results show that the robust result found in industrial-country data that most of the...
Persistent link: https://www.econbiz.de/10012470982
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Price Level Convergence Among United States Cities : Lessons for the European Central Bank
Cecchetti, Stephen G. - 2000
We study the dynamics of price indices for major U.S. cities using panel econometric methods and find that relative price levels among cities mean revert at an exceptionally slow rate. In a panel of 19 cities from 1918 to 1995, we estimate the half-life of convergence to be approximately nine...
Persistent link: https://www.econbiz.de/10012471080
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Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price
Taylor, Alan M. - 2000
The PPP puzzle is based on empirical evidence that international price differences for individual goods (LOOP) or baskets of goods (PPP) appear highly persistent or even non-stationary. The present consensus is these price differences have a half-life that is of the order of five years at best,...
Persistent link: https://www.econbiz.de/10012471192