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Data and Empirical Results
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0.95 quantiles 50 percent probability 90 percent confidence Andrews and Chen autoregressive parameter Canada contains the true deviations from parity deviations from PPP DF regression estimates of half-lives Euro area exchange rate shocks formula half-life of deviations half-life of shocks Half-Lives of Parity heteroskedasticity HLS is calculated impulse response function impulse to dissipate infinity contains initial shock interval estimates interval from zero intervals are measured least squares estimates McDermott 1996 median-unbiased estimate months to infinity null hypothesis parity deviations parity reversion percent confidence intervals persistence of shocks point and interval point estimates post-Bretton Woods period PPP deviations PPP holds presence of serial purchasing power parity quantile functions Real Effective Exchange real exchange rate REER of Iceland regression of equation serial correlation true half-life unbiased estimates unbiased model unbiased model-selection rule unit impulse unit root model unit root null unit root regressions unit root tests United Kingdom upper bound