Bounds tests of the Gibson paradox and the Fisher effect: Evidence from low-frequency international data

Manchester School

Volumn 71, Issue 6, 2003, Pages 673-679

  Atkins, Frank J ^a   Serletis, Apostolos ^a  

^a UNIVERSITY OF CALGARY   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0348217800     PISSN: 14636786     EISSN: None     Source Type: Journal    
DOI: 10.1046/j.1467-9957.2003.00373.x     Document Type: Article

References (12)

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2. Dickey, D. A. and Fuller, W. A. (1981). 'Likelihood Ratio Tests for Autoregressive Time Series with a Unit Root', Econometrica, Vol. 49, No. 4, pp. 1057-1072.
3. Engle, R. F. and Granger, C. W. J. (1987). 'Cointegration and Error Correction: Representation, Estimation and Testing', Econometrica, Vol. 55, No. 2, pp. 251-276.
4. King, R. G. and Watson, M. W. (1997). 'Testing Long-run Neutrality', Federal Reserve Bank of Richmond Economic Quarterly, Vol. 83, No. 3, pp. 69-101.
5. Koustas, Z. and Serletis, A. (1999). 'On the Fisher Effect', Journal of Monetary Economics, Vol. 44, No. 1, pp. 105-130.
6. Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. and Shin, Y. (1992). 'Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root', Journal of Econometrics, Vol. 54, Nos 1-3, pp. 159-178.
7. MacKinnon, J. G. (1994). 'Approximate Asymptotic Distribution Functions for Unit-root and Cointegration Tests', Journal of Business and Economic Statistics, Vol. 12, No. 2, pp. 167-176.
8. Ng, S. and Perron, P. (1997). 'Estimation and Inference in Nearly Unbalanced Nearly Cointegrated Systems', Journal of Econometrics, Vol. 79, No. 1, pp. 53-81.
9. Pantula, S. G., Gonzalez-Farias, G. and Fuller, W. A. (1992). 'A Comparison of Unit-root Test Criteria', Journal of Business and Economic Statistics, Vol. 12, No. 4, pp. 449-459.
10. Pesaran, M. H., Shin, Y. and Smith, R. J. (2001). 'Bounds Testing Approaches to the Analysis of Level Relationships', Journal of Applied Econometrics, Vol. 16, No. 3, pp. 289-326.
11. Phillips, P. C. B. (1987). Time Series Regression with a Unit Root', Econometrica, Vol. 55, No. 2, pp. 277-301.
12. Serletis, A. and Zestos, G. (1999). 'On the Gibson Paradox', Review of International Economics, Vol. 7, No. 1, pp. 116-125.