Robust estimation and inflation forecasting

References

• Andrews , D. W. K. 1991 . Heteroskedasticity and autocorrelation consistent covariance matrix estimation . Econometrica , 59 : 817 – 858 .
   Web of Science ®Google Scholar
• Banerjee , A. , Lumsdaine , R. and Stock , J. 1992 . Recursive and sequential tests of the unit root and trend break hypothesis: theory and international evidence . Journal of Business and Economic Statisics , 10 : 271 – 287 .
   Web of Science ®Google Scholar
• Banik , S. and Silvapulle , P. 1998 . Robustness of unit root tests Tor non-normal and/or heteroskedasticitic disturbances , Discussion Paper 16/99 La Trobe University .
   Google Scholar
• Christiano , L. J. 1992 . Searching For a break in GNP . Journal of Business and Economic Statistics , 10 : 237 – 250 .
   Web of Science ®Google Scholar
• de Brouwer , G. and Ericsson , N. R. 1995 . Modelling inflation in Australia , Research Discussion paper, 9510 Reserve Bank of Australia .
   Google Scholar
• Fama , E. F. 1990 . Term structure forecasts of interest rates, inflation, and real returns . Journal of Monetary Economics , 25 : 59 – 76 .
   Web of Science ®Google Scholar
• Fama , E. F. 1975 . Short-term interest rates as predictors of inflation . American Economic Review , 65 : 269 – 282 .
   Web of Science ®Google Scholar
• Fisher , I. 1930 . The Theory of Interest , New York : Augustus M. Kelly, Book seller .
   Google Scholar
• Gregory , A. W. and Hansen , B. H. 1996 . Residual-based tests for cointegration in models with regime shifts . Journal of Econometrics , 70 : 99 – 126 .
   Web of Science ®Google Scholar
• Hafer , R. W. and Hein , S. E. 1990 . Forecasting Inflation using interest rate and time series models: some international evidence . Journal of Bussiness , 63 : 1 – 17 .
   Web of Science ®Google Scholar
• Inder , B. and Silvapulle , P. 1993 . Does the Fisher effect apply in Australia? . Applied Economics , 25 : 839 – 843 .
   Web of Science ®Google Scholar
• Johansen , S. 1988 . Statistical anlaysis of cointegrating vectors . Journal of Economics Dynamics and Control , 12 : 231 – 254 .
   Web of Science ®Google Scholar
• Johansen , J. and Juselins , K. 1990 . Maximum likelihood estimation and inference on cointegration - with applications to the demand for money . Oxford Bulletin of Economics and Statistics , 52 : 169 – 210 .
   Web of Science ®Google Scholar
• Mishkin , F. S. 1990a . What does the term structure tell us about future inflation? . Journal of Monetary Economics , 25 : 77 – 95 .
   Web of Science ®Google Scholar
• Mishkin , F. S. 1990b . The information in the longer maturity term structure about future inflation . The Quarterly Journal of Economics , 105 : 815 – 828 .
   Web of Science ®Google Scholar
• Mishkin , F. S. and Simon , J. 1995 . An empirical examination of the Fisher effect in Australia . The Economic Record , 71 : 217 – 229 .
   Web of Science ®Google Scholar
• Olekalns , N. 1996 . Further evidence on the Fisher effect . Applied Economics , 28 : 851 – 856 .
   Web of Science ®Google Scholar
• Perron , P. 1989 . The great crash, the oil price shock, and the unit root hypothesis . Econometrica , 57 : 1361 – 1401 .
   Web of Science ®Google Scholar
• Phillips , P. C. B. 1987 . Time series regression with a unit root . Econometrica , 55 : 277 – 301 .
   Web of Science ®Google Scholar
• Silvapulle , M J. 1992a . Robust Wald-type tests of one-sided hypotheses in the linear models . Journal of the American Statistical Association , 417 : 156 – 161 .
   Google Scholar
• Silvapulle , M. J. 1992b . Robust tests of inequality constraints and one-sided hypotheses in the linear model . Biometrika , 79 : 621 – 630 .
   Web of Science ®Google Scholar
• Silvapulle , P. and Inder , B. 1998 . Yield spread and interest rate movements: a cointegration approach . Accounting Research Journal , 2 : 378 – 386 .
   Google Scholar
• Silvapulle , P. and Podivinsky , J. 2000 . Robustness of multiple cointegration tests for non-normal and or heteroskedasticitics disturbances . Journal of Camputations and Stimulatins , 65 : 173 – 189 .
   Web of Science ®Google Scholar
• Tzavalis , E. and Wickens , M. R. 1995 . Forecasting inflation from the term structure , Discussion puper in economics, no. 19 University of Exeter .
   Google Scholar
• Zivol , E. and Andrews , D. W. K. 1992 . Further evidence on the great crash, the oil price shock, and the unit root hypothesis . Journal of Business and Economic Statics , 10 : 251 – 270 .
   Google Scholar