Estimated
Half-Lives: Real Exchange Rate,
Robustness to
Outliers
------------------------------------------------------------------------------------------------------------
Mean Group Mean
Group-CCE
Level of
-------------------------------------- ---------------------------------
Aggregation OLS QAR OLS QAR
------------------------------------------------------------------------------------------------------------
1 140 189 20 26
[128,
156] [139, 234] [6, 173] [23, 293]
2 78 128 20 23
[58,
117] [109, 151] [12, 74] [16, 65]
3 65 66 24 36
[46,
155] [44, 211] [10, 160] [10, 136]
5 62 66 10 11
[49,
97] [50, 105] [7, 17] [9, 86]
6 23 23 7 9
[18,
32] [18, 41] [6, 9] [7, 11]
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Note: QAR denotes the Quantile Autoregression estimator of Koenker
and Xiao (2006). Numbers in square
brackets are confidence intervals constructed using a nonparametric bootstrap
procedure with 100 replications. The samples consist of 3 goods in level 1, 13
goods in level 2, 22 goods in level 3, 55 goods in level 5, and 196 goods in
level 6.