Testing the stationarity of interest rates using a SUR approach

DOI10.1016/S0165-1765(98)00095-0MaRDI QIDQ1275111zbMATH OpenFDO

Authors Christoph Balz

Publication date 12 January 1999

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

seemingly unrelated regressionunit rootsinterest rates

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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• Testing the null of stationarity for multiple time series
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• 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?
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Cites work

• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Exploiting cross-section variation for unit root inference in dynamic data
• Testing for unit roots in heterogeneous panels.

Cited in

(4)

• Searching stationarity in the real exchange rates: Application of the SUR estimator
• Testing the term structure of interest rates using a stationary vector autoregression with regime switching
• A note on fully-modified estimation of seemingly unrelated regression models with integrated regressors.
• An Application of Matrix Power Series to Linear Models

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