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Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate

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  • Maki, Daiki
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 81 (2003)
    Issue (Month): 3 (December)
    Pages: 349-354

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    Handle: RePEc:eee:ecolet:v:81:y:2003:i:3:p:349-354

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    1. Imad A. Moosa & Jolanta Kwiecien, 2002. "Cross-Country Evidence on the Ability of the Nominal Interest Rate to Predict Inflation," The Japanese Economic Review, Japanese Economic Association, vol. 53(4), pages 478-495.
    2. Campbell, John & Shiller, Robert, 1987. "Cointegration and Tests of Present Value Models," Scholarly Articles 3122490, Harvard University Department of Economics.
    3. Bierens, Herman J., 1997. "Nonparametric cointegration analysis," Journal of Econometrics, Elsevier, vol. 77(2), pages 379-404, April.
    4. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "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?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
    5. K. M. Hawtrey, 1997. "The Fisher effect and Australian interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 7(4), pages 337-346.
    6. Li, Qi & Wooldridge, Jeffrey M., 2002. "Semiparametric Estimation Of Partially Linear Models For Dependent Data With Generated Regressors," Econometric Theory, Cambridge University Press, vol. 18(03), pages 625-645, June.
    7. Koustas, Zisimos & Serletis, Apostolos, 1999. "On the Fisher effect," Journal of Monetary Economics, Elsevier, vol. 44(1), pages 105-130, August.
    8. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
    9. Breitung, Jorg, 2002. "Nonparametric tests for unit roots and cointegration," Journal of Econometrics, Elsevier, vol. 108(2), pages 343-363, June.
    10. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
    11. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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    Cited by:
    1. Nesmith Travis D & Jones Barry E, 2008. "Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-18, March.
    2. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Working Papers 2008-018, Federal Reserve Bank of St. Louis.

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