On the order of integration of monthly US ex-ante and ex-post real interest rates: new evidence from over a century of data

DOI10.1016/j.econlet.2005.07.021zbMath1254.91670OpenAlexW2032712040MaRDI QIDQ1929021

S. H. Sekioua, Menelaos Karanasos, Ning Zeng

Publication date: 7 January 2013

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

Full work available at URL: http://repec.org/mmfc05/paper21.pdf

zbMATH Keywords

persistenceunit root testsreal interest ratedual long memory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items

The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests ⋮ Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics ⋮ Fractional integration and the volatility of UK interest rates

Uses Software

• G@RCH

Cites Work

• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Long memory story of the real interest rate
• Dual Long Memory in Inflation Dynamics across Countries of the Euro Area and the Link between Inflation Uncertainty and Macroeconomic Performance
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Efficient Tests for an Autoregressive Unit Root