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

  • Hugh Rockoff

    ()

    (Rutgers)

  • John Landon-Lane

    ()

    (Rutgers)

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.

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File URL: ftp://snde.rutgers.edu/Rutgers/wp/2006-08.pdf
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Paper provided by Rutgers University, Department of Economics in its series Departmental Working Papers with number 200608.

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Length: 20 pages
Date of creation: 31 Jul 2006
Date of revision:
Handle: RePEc:rut:rutres:200608
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Web page: http://snde.rutgers.edu/Rutgers/wp/rutgers-wplist.html

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  1. Johansen, S., 1991. "Determination of Cointegration Rank in the Presence of a Linear Trend," Papers 76a, Helsinki - Department of Economics.
  2. 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 563-77, Sept.-Oct.
  3. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
  4. John C. Driscoll, 2003. "Does bank lending affect output? evidence from the U.S. states," Finance and Economics Discussion Series 2003-31, Board of Governors of the Federal Reserve System (U.S.).
  5. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  6. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "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?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
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