Kim, Jaebeom; Ogaki, Masao - In: Monetary and Economic Studies 22 (2004) 1, pp. 1-25
When univariate methods are applied to real exchange rates, point estimates of autoregressive (AR) coefficients typically imply very slow rates of mean reversion. However, a recent study by Murray and Papell (2002) calculates confidence intervals for estimates of half-lives for long-horizon and...