Additional sources of bias in half-life estimation

Seong, Byeongchan; Morshed, A.K.M. Mahbub; Ahn, Sung K.

doi:10.1016/j.csda.2005.12.016

Cited by 16 publications

(19 citation statements)

References 20 publications

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“…In general, the convergence rates are rather large in absolute values and translate into half-lives shorter than one year. The price adjustment is rather fast compared to agricultural commodity markets, where half-lives usually vary between three and five years (e.g., Cecchetti et al, 2002;Nagayasu and Inakura, 2009;Seong et al, 2006;Sonora, 2005). However, our results are in line with findings in Carmona and Rosés (2012), who report halflives of less than one year for the Spanish land market in the previous century.…”

Section: Figure 6 Convergence Clubssupporting

confidence: 72%

Testing for regional convergence of agricultural land prices

2017

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The focus of this paper is on spatial market integration in agricultural land markets. We scrutinize the applicability of the law of one price to land markets and distinguish between absolute and relative versions of this "law". Panel data unit root and stationarity tests are applied to land sale prices in the German state Lower Saxony. Three main clusters with different price developments are detected. Our results indicate that the law of one price holds only locally due to structural differences among regions.

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Section: Figure 6 Convergence Clubssupporting

confidence: 72%

Testing for regional convergence of agricultural land prices

2017

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“…When these policies or disturbances contain possible trend breaks, the breaks may also be revealed in prices or exchange rates (see Taylor and Taylor, 2004). Therefore, RER examinations might be biased when linear regressions are used and the presence of trend breaks is neglected (see Seong et al, 2006). Recent empirical studies have incorporated possible trend breaks to examine RER dynamic behaviour (see e.g.…”

Section: Introductionmentioning

confidence: 99%

The Behaviour of Real Exchange Rates: The Case of Japan

Chang

Lin

Yin

2013

Pacific Economic Review

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This study examines the convergence rate of mean reversion by estimating the half‐lives of sectoral real exchange rates using an extensive product price panel for Japan (with the USA as the numéraire). We find that the half‐lives of sectoral real exchange rates are remarkably distorted when the grouped half‐life is measured inappropriately and the cross‐sectional dependence and potential trend breaks are ignored. After taking account of these problems, the bias‐corrected half‐life for all goods is as low as 3.00 years, close to the bottom of the consensus view of 3 to 5 years. Moreover, the bias‐corrected half‐life of mean reversion is 2.40 years for traded goods, and only approximately half that for non‐traded goods. Finally, our findings also support the view that small‐sample bias correction is critical for half‐life estimations.

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“…Verboven [20], in footnote 11, observe that in case of more complicated processes, such as a higher order AR(p) process or an ARMA(p,q) process, the previous formula is no longer valid, and thus impulse response functions should be preferred (see also Seong et al [44]). Bearing this aspect in mind, we employ the GIRFs proposed by Pesaran and Shin [42], which are invariant to the way shocks in the underlying VAR model are orthogonalised.…”

Section: Var-based Modelling Of Us Unemployment Rates and The Determimentioning

confidence: 99%

Modelling the behaviour of unemployment rates in the US over time and across space

Holmes¹,

Otero²,

Panagiotidis³

2013

Physica A: Statistical Mechanics and its Applications

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Department of Economics University of Macedonia Greece June 2013Abstract This paper provides evidence that unemployment rates across US states are stationary and therefore behave according to the natural rate hypothesis. We provide new insights by considering the effect of key variables on the speed of adjustment associated with unemployment shocks. A highly-dimensional VAR analysis of the half-lives associated with shocks to unemployment rates in pairs of states suggests that distance between states and vacancy rates respectively exert a positive and negative influence. We find that higher homeownership rates do not lead to higher half-lives. When the symmetry assumption is relaxed through quantile regression, support for the Oswald hypothesis through a positive relationship between homeownership rates and half-lives is found at the higher quantiles.JEL Classification: E240, J600, F150, R100.Keywords: Unemployment; market integration; speed of adjustment. * We would like to thank three anonymous referees for their useful comments and suggestions on an earlier version of the paper. Any remaining errors are our own responsibility. †

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Additional sources of bias in half-life estimation

Cited by 16 publications

References 20 publications

Testing for regional convergence of agricultural land prices

Testing for regional convergence of agricultural land prices

The Behaviour of Real Exchange Rates: The Case of Japan

Modelling the behaviour of unemployment rates in the US over time and across space

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