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Testing the stationarity of interest rates using a SUR approach

  • Balz, Christoph
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    File URL: http://www.sciencedirect.com/science/article/B6V84-3TMPPJY-3/2/242d64dea0c68d76ca3160a9b4739cd4
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 60 (1998)
    Issue (Month): 2 (August)
    Pages: 147-150

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    Handle: RePEc:eee:ecolet:v:60:y:1998:i:2:p:147-150
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
    2. Campbell, John & Shiller, Robert, 1987. "Cointegration and Tests of Present Value Models," Scholarly Articles 3122490, Harvard University Department of Economics.
    3. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220 National Bureau of Economic Research, Inc.
    4. Quah, D., 1993. "Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data," Papers 549, Stockholm - International Economic Studies.
    5. Mishkin, Frederic S., 1992. "Is the Fisher effect for real? : A reexamination of the relationship between inflation and interest rates," Journal of Monetary Economics, Elsevier, vol. 30(2), pages 195-215, November.
    6. Phylaktis, Kate & Kassimatis, Yiannis, 1994. "Does the real exchange rate follow a random walk? The Pacific Basin perspective," Journal of International Money and Finance, Elsevier, vol. 13(4), pages 476-495, August.
    7. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-26, February.
    8. Carsten-Patrick Meier, 1997. "Assessing convergence to purchasing power parity: A panel study for ten OECD countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 133(2), pages 297-312, 06.
    9. Wu, Yangru & Zhang, Hua, 1996. "Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(4), pages 604-21, November.
    10. Abuaf, Niso & Jorion, Philippe, 1990. " Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 45(1), pages 157-74, March.
    11. Meier, Carsten-Patrick, 1997. "Assessing convergence to purchasing power parity : a panel study for ten OECD countries," Open Access Publications from Kiel Institute for the World Economy 1719, Kiel Institute for the World Economy (IfW).
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