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Are net discount rates stationary?: some further evidence

Author

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  • Joseph H. Haslag

    (University of Chicago)

  • Michael Nieswiadomy
  • Slottje, D.J.

Abstract

Gamber and Sorensen provide evidence suggesting that the net discount ratio experienced a level shift in the mean between 1977 and 1981. If such a shift occurred, the nonlinearity in the data shows up as a failure to reject the null hypothesis that a unit root is present; that is, the series is I(1). In this reply, evidence is presented-the Phillips-Perron test and a univariate version of the Stock-Watson q-test-suggesting that the net discount ratio is stationary. Hence, the mean is constant. In addition, if one extends the analysis to include the 1989 through 1993 period, the net discount ratio appears to be reverting.

Suggested Citation

  • Joseph H. Haslag & Michael Nieswiadomy & Slottje, D.J., 1993. "Are net discount rates stationary?: some further evidence," Working Papers 9341, Federal Reserve Bank of Dallas.
  • Handle: RePEc:fip:feddwp:9341
    Note: Published as: Haslag, Joseph H., Michael Nieswiadomy and D.J. Slottje (1994), "Are Net Discount Rates Stationary? Some Further Evidence," The Journal of Risk and Insurance 61 (3): 513-518.
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    File URL: http://dallasfed.org/assets/documents/research/papers/1993/wp9341.pdf
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    References listed on IDEAS

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    1. Joseph H. Haslag & Michael Nieswiadomy & Slottje, D.J., 1990. "Are net discount ratios stationary?: the implications for present value calculations," Working Papers 9006, Federal Reserve Bank of Dallas.
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    Cited by:

    1. Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period," MERIT Working Papers 016, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    2. Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period," MERIT Working Papers 012, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    3. Franco Bevilacqua & Adriaan van Zon, 2004. "Random walks and non-linear paths in macroeconomic time series: some evidence and implications," Chapters, in: John Foster & Werner Hölzl (ed.), Applied Evolutionary Economics and Complex Systems, chapter 3, Edward Elgar Publishing.

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