Additional Sources of Bias in Half-life Estimation
- Authors
- Seong, Byeongchan; A.K.M. Mahbub Morshed; Ahn, Sung K.
- Issue Date
- Dec-2006
- Publisher
- ELSEVIER SCIENCE BV
- Keywords
- impulse response functionstructural break
- Citation
- COMPUTATIONAL STATISTICS & DATA ANALYSIS, v.51, no.3, pp 2056 - 2064
- Pages
- 9
- Journal Title
- COMPUTATIONAL STATISTICS & DATA ANALYSIS
- Volume
- 51
- Number
- 3
- Start Page
- 2056
- End Page
- 2064
- URI
- https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/61018
- DOI
- 10.1016/j.csda.2005.12.016
- ISSN
- 0167-9473
1872-7352
- Abstract
- Recently, an increasing amount of attention is being paid to biases in the measurement of time series dynamics based on calculations of half-life. In particular, this issue amplifies the controversy surrounding the purchasing power parity doctrine. Cross-sectional and temporal aggregations, along with mis-specified models, were previously identified as sources of this bias. We identified several other sources of bias, namely, sampling error, incorrect approximations, and structural breaks in time series. These sources should also receive sufficient attention for a sound measurement of half-life.
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- Appears in
Collections - College of Business & Economics > Department of Applied Statistics > 1. Journal Articles
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