...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Global economic review >Re-examining the Fisher Effect: An Application of Small Sample Distributions of the Covariate Unit Root Test
【24h】

Re-examining the Fisher Effect: An Application of Small Sample Distributions of the Covariate Unit Root Test

机译：重新检验费雪效应：协变量单位根检验的小样本分布的应用

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

This article employs the covariate unit root test proposed by Elliott and Jansson to investigate the stationarity properties of real interest rates. Instead of blindly trusting the asymptotic distribution of the test, we extend Rudebusch's method to estimate its finite sample distributions under the null and alternative hypotheses. With these distributions, we can obtain the probabilities that the test statistic comes from the null and alternative hypotheses, and quantify the asymptotic size as well as the test power for each specific series. Our simulation experiments show that first, due to the higher power raised by the inclusion of covariates, the test can overwhelmingly reject the unit root null for the 16 industrialized countries; secondly, the Ng and Perron tests deliver lower powers in most countries, and thus lead to the false conclusion of non-stationary real interest rates. Finally, allowing for multiple endogenous breaks in the real interest rates provides only stationary evidence in half of the 16 countries.
机译：本文采用了Elliott和Jansson提出的协变量单位根检验来研究实际利率的平稳性。我们不是盲目地相信检验的渐近分布，而是扩展了Rudebusch的方法来估计零假设和替代假设下的有限样本分布。利用这些分布，我们可以从零假设和替代假设中获得检验统计量的概率，并量化每个特定系列的渐近大小和检验功效。我们的模拟实验表明，首先，由于包含协变量而提高了功效，因此该测试可以压倒性地拒绝16个工业化国家的单位根无效。其次，Ng和Perron测验在大多数国家/地区的权能较低，因而导致错误地得出了不稳定的实际利率。最后，在16个国家中的一半中，允许实际利率多次内生性突破只能提供固定的证据。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号