Aggregation of heterogeneous dynamics, half-life acuracy and PPP puzzle: evidence for Brazilian cities
DOI:
https://doi.org/10.1590/0101-41615025fbrKeywords:
Aggregation bias, Half-life, PPP PuzzleAbstract
The PPP puzzle is named as one of six major puzzles in international macroeconomics. IMRR (2005a) point out to the aggregation bias of price with heterogeneous adjustment dynamics as a solution to the puzzle. This paper investigates whether this result is supported for Brazilian cities data using a dynamic CCEMG estimator with half-panel jackknife bias correction to mitigate the small sample time series bias proposed by Chudik and Pesaran (2015). The results corroborate the IMRR’s (2005a) evidence, with a median half-life of 13.5 months.
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Atualizado em 14/08/2025