Choi, Chi-Young; Mark, Nelson C.; Sul, Donggyu - In: Journal of Money, Credit and Banking 38 (2006) 4, pp. 921-938
Three potential sources of bias introduce complications for panel data estimation of the half-life of purchasing power parity deviations. They are bias induced by inappropriate cross-sectional aggregation of heterogeneous coefficients, small-sample estimation bias of dynamic lag coefficients,...