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Estimation of the order of integration in the UK and the us interest rates using fractionally integrated semiparametric techniques

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  • Luis A. Gil-Alana

Abstract

We examine in this article the monthly structure of the US and the UK interest rates by means of using fractionally integrated semiparametric techniques. The results based on the quasi maximum likelihood estimate of Robinson (QMLE, 1995) indicate that the order of integration of both series is higher than 1, especially for the US, with the degree of integration oscillating around 1.23. For the UK, this value is around 1.07. Similar results are obtained when using a parametric testing procedure of Robinson (1994), though with this method, the unit root null hypothesis cannot be rejected for the UK. In conclusion, both series are nonstationary and non-meanreverting.

Suggested Citation

  • Luis A. Gil-Alana, 2004. "Estimation of the order of integration in the UK and the us interest rates using fractionally integrated semiparametric techniques," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 29-40.
    • Handle: RePEc:ers:journl:v:vii:y:2004:i:1-2:p:29-40
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    Cited by:

    1. Giorgio Canarella & Stephen M Miller, 2017. "Inflation Persistence Before and After Inflation Targeting: A Fractional Integration Approach," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 43(1), pages 78-103, January.
    2. Giorgio Canarella & Stephen M. Miller, 2016. "Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US," Working papers 2016-21, University of Connecticut, Department of Economics.

    More about this item

    Keywords

    Long memory; Fractional integration; Interest rates.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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