On the order of integration of monthly US ex-ante and ex-post real interest rates: New evidence from over a century of data
Tài liệu tham khảo
Conrad, C., Haag, B., 2004. Inequality constraints in the FIGARCH model. Unpublished Manuscript, University of Manheim.
Conrad, C. and Karanasos, M., 2005. The dual long memory process revisited: inequality constraints, impulse response weights, and autocorrelation coefficients. Unpublished manuscript, University of Newcastle.
Elliott, 1996, Efficient tests for an autoregressive unit root, Econometrica, 64, 813, 10.2307/2171846
Hansen, 1999, The grid bootstrap and the autoregressive model, The Review of Economics and Statistics, 81, 594, 10.1162/003465399558463
Kwiatkowski, 1992, Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic series are non stationary?, Journal of Econometrics, 54, 159, 10.1016/0304-4076(92)90104-Y
Lai, 1997, Long-term persistence in the real interest rate: some evidence of a fractional unit root?, International Journal of Finance and Economics, 2, 225, 10.1002/(SICI)1099-1158(199707)2:3<225::AID-IJFE49>3.0.CO;2-C
Laurent, 2002, G@ARCH 2.2: an Ox package for estimating and forecasting various ARCH models, Journal of Economic Surveys, 3, 447, 10.1111/1467-6419.00174
Ng, 2001, Lag length selection and the construction of unit root tests with good size and power, Econometrica, 69, 1519, 10.1111/1468-0262.00256
Rapach, 2004, Are real interest rates really nonstationary? New evidence from tests with good size and power, Journal of Macroeconomics, 26, 409, 10.1016/j.jmacro.2003.03.001
Rapach, D.E. and Wohar, M.E. (in press). The persistence in international real interest rates. International Journal of Finance and Economics.
Sekioua, S.H., 2004. The real interest rate: is it mean-reverting? If yes, how long does it take to mean-revert? Unpublished manuscript, University of Newcastle.
Tsay, 2000, Long memory story of the real interest rate, Economics Letters, 67, 325, 10.1016/S0165-1765(99)00272-4
Tse, 1998, The conditional heteroscedasticity of the yen–dollar exchange rate, Journal of Applied Econometrics, 13, 49, 10.1002/(SICI)1099-1255(199801/02)13:1<49::AID-JAE459>3.0.CO;2-O