Cotrending and the stationarity of the real interest rate

DOI10.1016/0165-1765(93)90050-MzbMath0800.90220OpenAlexW1964019445MaRDI QIDQ1316984

Masao Ogaki, David A. Chapman

Publication date: 17 April 1994

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(93)90050-m

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (4)

Modelling comovements of economic time series: a selective survey ⋮ A cointegration approach to estimating preference parameters ⋮ Cobra: a package for co-breaking analysis ⋮ Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Statistical analysis of cointegration vectors
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• A cointegration approach to estimating preference parameters
• Asymptotic Normality, When Regressors Have a Unit Root
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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