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Further, we propose a median unbiased estimator for the system method based on the generalized method of moments with non\u2010parametric grid bootstrap confidence intervals. Applying the method to real exchange rates of 18 developed countries against the US dollar, we find that most half\u2010life estimates from the single equation method fall in the range of 3\u20135 years, with wide confidence intervals that extend to positive infinity. In contrast, the system method yields median\u2010unbiased estimates that are typically shorter than 1 year, with much sharper 95% confidence intervals. Our Monte Carlo simulation results are consistent with an interpretation of these results that the true half\u2010lives are short but long half\u2010life estimates from single\u2010equation methods are caused by the high degree of uncertainty of these methods. 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