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A Panel CUSUM Test of the Null of Cointegration

✍ Scribed by Joakim Westerlund


Book ID
111046822
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
212 KB
Volume
67
Category
Article
ISSN
0140-5543

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Panel cointegration tests of the Fisher
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## Abstract Most empirical evidence suggests that the Fisher effect, stating that inflation and nominal interest rates should cointegrate with a unit slope on inflation, does not hold, a finding at odds with many theoretical models. This paper argues that these results can be attributed in part to