Long memory story of the real interest rate *
نویسنده
چکیده
This paper reexamines the time series properties of the US ex post real interest rate. The estimation of the ARFIMA model using the Conditional Sum of Squares (CSS) method reveals that the ex post real interest rate can be well described using a fractionally integrated process. 2000 Elsevier Science S.A. All rights reserved.
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