The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests

DOI10.1080/02664763.2014.938620OpenAlexW2043033203MaRDI QIDQ5130139

James W. Saunoris, Nicholas Apergis, Christina Christou, James E. Payne

Publication date: 4 November 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2014.938620

zbMATH Keywords

persistencereal interest ratesnew panel ratio testsOECD economies

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Tests of stationarity against a change in persistence
• Modified tests for a change in persistence
• On the order of integration of monthly US ex-ante and ex-post real interest rates: new evidence from over a century of data
• Detection of change in persistence of a linear time series
• Long memory story of the real interest rate
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Asset Prices in an Exchange Economy
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Fixed‐banalysis of LM‐type tests for a shift in mean
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models