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On the Pitfalls of Untested Common-Factor Restrictions: The Case of the Inverted Fisher Hypothesis

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Author Info
Hoover, Kevin D

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Abstract

The dangers of incorrectly imposing common-factor restrictions through the use o f the Cochrane-Orcutt transformation are illustrated using J. Carmich ael and P. Stebbing's (1983) analysis of the inverted Fisher hypothes is. Empirical evidence that the nominal rate of interest is unrelated to the rate of inflation is examined and found to be the result of a n invalid common-factor restriction. A better-specified model indicat es a direct, though not one-for-one, relationship. Copyright 1988 by Blackwell Publishing Ltd

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Publisher Info
Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 50 (1988)
Issue (Month): 2 (May)
Pages: 125-38
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Handle: RePEc:bla:obuest:v:50:y:1988:i:2:p:125-38

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  2. McGuirk, Anya & Spanos, Aris, 2002. "The Linear Regression Model With Autocorrelated Errors: Just Say No To Error Autocorrelation," 2002 Annual meeting, July 28-31, Long Beach, CA 19905, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  3. Kevin D. Hoover & Stephen J. Perez, . "Data Mining Reconsidered: Encompassing And The General-To-Specific Approach To Specification Search," Department of Economics 97-27, California Davis - Department of Economics. [Downloadable!]
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  4. McGuirk, Anya & Spanos, Aris, 2004. "Revisiting Error Autocorrelation Correction: Common Factor Restrictions And Granger Causality," 2004 Annual meeting, August 1-4, Denver, CO 20176, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
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