Cotrending and the stationarity of the real interest rate
Economics LettersPublished 1 January 1993
David A. Chapman, Masao Ogaki
Citations26
SJR quartileQ2
SJR score0.76
SNIP0.98
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Abstract
This paper introduces the concept of cotrending to trend stationary series with structural breaks. We apply it to nominal interest rates and inflation in order to test the long-run Fisher effect.
Keywords
Economics, Econometrics and Finance
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