"Aggregation bias" does explain the PPP puzzle
By: Jean Imbs ... [et al.].
Contributors: Imbs, Jean.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 11607; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 11607.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Foreign exchange rates -- Mathematical models.; Purchasing power parity -- Mathematical models.
Description: "This article summarizes our views on the role of an "aggregation bias" in explaining the PPP Puzzle, in response to the several papers recently written in reaction to our initial contribution.  We discuss in particular the criticisms of Imbs, Mumtaz, Ravn and Rey (2002) presented in Chen and Engel (2005).  We show that their contentions are based on: (i) analytical counter-examples which are not empirically relevant; (ii) simulation results minimizing the extent of "aggregation bias"; (iii) unfounded claims on the impact of measurement errors on our results; and (iv) problematic implementation of small-sample bias corrections.  We conclude, as in our original paper, that "aggregation bias" goes a long way towards explaining the PPP puzzle"--National Bureau of Economic Research web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 9/15/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.