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Economics Letters
Volumn 81, Issue 3, 2003, Pages 349-354
Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate
Author keywords

Cointegration; Nonlinear adjustment; Nonparametric
Indexed keywords

EID: 0242339699     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(03)00216-7     Document Type: Article
Times cited : (8)
References (12)
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    • Bierens, H.J.1
  • 2
    • 0242374881 scopus 로고    scopus 로고
    • Nonparametric tests for unit roots and cointegration
    • Breitung J. Nonparametric tests for unit roots and cointegration Journal of Econometrics 108 2002 343-363
    • (2002) Journal of Econometrics , vol.108 , pp. 343-363
    • Breitung, J.1
  • 4
    • 0000013567 scopus 로고
    • Cointegration and error correction: Representation, estimation, and testing
    • Engle R.F. Granger C.W.J. Cointegration and error correction: representation, estimation, and testing Econometrica 55 1987 251-276
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 5
    • 0004270519 scopus 로고    scopus 로고
    • The Fisher effect and Australian interest rates
    • Hawtrey K.M. The Fisher effect and Australian interest rates Applied Financial Economics 7 1997 337-346
    • (1997) Applied Financial Economics , vol.7 , pp. 337-346
    • Hawtrey, K.M.1
  • 7
    • 0000158117 scopus 로고
    • Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models
    • Johansen S. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models Econometrica 59 1991 1551-1580
    • (1991) Econometrica , vol.59 , pp. 1551-1580
    • Johansen, S.1
  • 9
    • 34247480179 scopus 로고
    • Testing the null hypothesis of stationary against the alternative of a unit root: How sure are we that economic time series have a unit root?
    • Kwitakowski D. Phillips P.C.B. Schmidt P. Shin Y. Testing the null hypothesis of stationary against the alternative of a unit root: how sure are we that economic time series have a unit root? Journal of Econometrics 54 1992 159-178
    • (1992) Journal of Econometrics , vol.54 , pp. 159-178
    • Kwitakowski, D.1    Phillips, P.C.B.2    Schmidt, P.3    Shin, Y.4
  • 10
    • 0036015416 scopus 로고    scopus 로고
    • Semiparametric estimation of partially linear models for dependent data with generated regressors
    • Li Q. Wooldridge J.M. Semiparametric estimation of partially linear models for dependent data with generated regressors Econometric Theory 18 2002 625-645
    • (2002) Econometric Theory , vol.18 , pp. 625-645
    • Li, Q.1    Wooldridge, J.M.2
  • 11
    • 0036935154 scopus 로고    scopus 로고
    • Cross-country evidence on the ability of the nominal interest rate to predict inflation
    • Moosa I.A. Kwiecien J. Cross-country evidence on the ability of the nominal interest rate to predict inflation The Japanese Economic Review 53 2002 478-495
    • (2002) The Japanese Economic Review , vol.53 , pp. 478-495
    • Moosa, I.A.1    Kwiecien, J.2
  • 12
    • 0000631178 scopus 로고
    • A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics
    • Osterwald-Lenum M. A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics Oxford Bulletin of Economics and Statistics 54 1992 461-472
    • (1992) Oxford Bulletin of Economics and Statistics , vol.54 , pp. 461-472
    • Osterwald-Lenum, M.1

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