Mean Reversion of Real Interest Rates in G-20: Panel Kss Test by Spsm with a Fourier Function
AbstractThis study applies the Sequential Panel Selection Method (SPSM) to test the mean reversion properties in the real interest rates for the G-20 countries. SPSM classifies the whole panel into a group of stationary countries and a group of non-stationary countries. In doing so, we can clearly identify how many and which series in the panel are stationary processes. Empirical results from the SPSM using the Panel KSS test with a Fourier function indicate that the mean reversion holds true for all G-20 countries. Our results have important policy implications for the G-20 countries under study.
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Bibliographic InfoArticle provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.
Volume (Year): (2012)
Issue (Month): 3 (September)
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More information through EDIRC
Mean Reversion; Real Interest Rate; Sequential Panel Selection Method; G-10 Countries;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
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