𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Reducing the size distortions of the panel LM Test for cointegration

✍ Scribed by Joakim Westerlund


Book ID
116421244
Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
153 KB
Volume
90
Category
Article
ISSN
0165-1765

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Panel cointegration tests of the Fisher
✍ Joakim Westerlund πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 287 KB

## 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