Panel cointegration tests of the Fisher effect
نویسندگان
چکیده
منابع مشابه
the washback effect of discretepoint vs. integrative tests on the retention of content in knowledge tests
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15 صفحه اولMixed Signals Among Panel Cointegration Tests
Time series cointegration tests, even in the presence of large sample sizes, often yield conflicting conclusions (“mixed signals”) as measured by, inter alia, a low correlation of empirical p-values [see Gregory et al., 2004, Journal of Applied Econometrics]. Using their methodology, we present evidence suggesting that the problem of mixed signals persists for popular panel cointegration tests....
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The relationship between inflation and interest rates represents one of the crucial tests of monetary super-neutrality. To date, there is no consensus among economists with respect to this relationship. Many studies find evidence favorable to a full adjustment of nominal rates of interest to changes in (expected) inflation resulting in no long-run effects on real interest rates consistent with ...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2008
ISSN: 0883-7252,1099-1255
DOI: 10.1002/jae.967