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Unbiased estimation of the half-life to price index convergence among U.S. cities

Nath, Hiranya & Sarkar, Jayanta (2009) Unbiased estimation of the half-life to price index convergence among U.S. cities. Journal of Money, Credit and Banking, 41(5), pp. 1041-1046.

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Abstract

Estimates of the half-life to convergence of prices across a panel of cities are subject to bias from three potential sources: inappropriate cross-sectional aggregation of heterogeneous coefficients, presence of lagged dependent variables in a model with individual fixed effects, and time aggregation of commodity prices. This paper finds no evidence of heterogeneity bias in annual CPI data for 17 U.S. cities from 1918 to 2006, but correcting for the “Nickell bias” and time aggregation bias produces a half-life of 7.5 years, shorter than estimates from previous studies.

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8 citations in Scopus
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ID Code: 44483
Item Type: Journal Article
Keywords: price index convergence, half-life, Nickell bias, time aggregation bias
DOI: 10.1111/j.1538-4616.2009.00245.x
ISSN: 0022-2879
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200)
Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200)
Deposited On: 24 Aug 2011 22:11
Last Modified: 29 Feb 2012 14:23

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