Estimated Half-Lives: Real Exchange Rate,

Non-Tradable Goods

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Estimation Method

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Level of Pooled Random

Aggregation Fixed Effects Coefficients Mean Group Mean Group-CCE

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2 108 78 73 23

[80, 181] [46, 161] [46, 132] [16, 30]

3 99 92 90 19

[70, 141] [64, 127] [60, 120] [15, 23]

5 108 118 107 14

[88, 136] [58, 227] [52, 231] [10, 20]

6 73 34 30 11

[59, 95] [23, 36] [22, 35] [9, 13]

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Note: Bias-corrected half-life estimates are obtained using the direct bootstrap procedure with 50 replications (Imbs et al. 2005b). Numbers in square brackets are bootstrapped confidence intervals of bias-corrected half-life estimates using the method of Kilian (1998) with 50 replications. The samples consist of 4 goods in level 2, 4 goods in level 3, 9 goods in level 5, and 32 goods in level 6.