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A Companion to "The Origin and Diffusion of Shocks to Regional Interest Rates in the United States, 1880-2002."

Author

Listed:
  • Hugh Rockoff

    () (Rutgers)

  • John Landon-Lane

    () (Rutgers)

Abstract

This paper contains all of the statistical results underlying our paper "The Origin and Diffusion of Shocks to Regional Interest Rates in the United States, 1880-2002." It also contains a table of the underlying data, and a discussion of how the data was constructed.

Suggested Citation

  • Hugh Rockoff & John Landon-Lane, 2006. "A Companion to "The Origin and Diffusion of Shocks to Regional Interest Rates in the United States, 1880-2002."," Departmental Working Papers 200608, Rutgers University, Department of Economics.
  • Handle: RePEc:rut:rutres:200608
    as

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    File URL: http://www.sas.rutgers.edu/virtual/snde/wp/2006-08.pdf
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    References listed on IDEAS

    as
    1. MacKinnon, James G & Haug, Alfred A & Michelis, Leo, 1999. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 563-577, Sept.-Oct.
    2. Johansen, Soren, 1992. "Determination of Cointegration Rank in the Presence of a Linear Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 383-397, August.
    3. Driscoll, John C., 2004. "Does bank lending affect output? Evidence from the U.S. states," Journal of Monetary Economics, Elsevier, vol. 51(3), pages 451-471, April.
    4. Elliott, Graham, 1999. "Efficient Tests for a Unit Root When the Initial Observation Is Drawn from Its Unconditional Distribution," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(3), pages 767-783, August.
    5. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "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?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    6. Perron, Pierre & Rodriguez, Gabriel, 2003. "GLS detrending, efficient unit root tests and structural change," Journal of Econometrics, Elsevier, vol. 115(1), pages 1-27, July.
    7. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    8. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
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    More about this item

    Keywords

    interest rates; monetary unions;

    JEL classification:

    • N22 - Economic History - - Financial Markets and Institutions - - - U.S.; Canada: 1913-

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