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Applied Economics Letters Volume 18, 2011 - Issue 13
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Original Articles

The Fisher effect in the EU revisited: new evidence using panel cointegration estimation with global stochastic trends

Rosa Badillo Department of Economics, Technical University of Cartagena, c/Real, 3E-30201, Cartagena, SpainCorrespondence[email protected]
,
Carmelo Reverte Department of Accounting and Finance, Technical University of Cartagena, c/Real, 3E-30201, Cartagena, Spain
&
Elena Rubio R&D group: Fundamentos de las decisiones sociales en economía, Technical University of Cartagena, c/Real, 3E-30201, Cartagena, Spain
Pages 1247-1251 | Published online: 04 Mar 2011

References

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  • Bai , J. , Kao , C. and Ng , S. 2009 . Panel cointegration with global stochastic trends . Journal of Econometrics , 149 : 82 – 99 .
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  • Banerjee , A. and Carrion-i-Silvestre , J. L. Cointegration in panel data with breaks and cross-section dependence . Working Paper Series No. 591 . Germany. European Central Bank .
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  • Westerlund , J. 2008 . Panel cointegration tests of the Fisher effect . Journal of Applied Econometrics , 23 : 193 – 233 .
  • Westerlund , J. and Edgerton , D. 2008 . A simple test for cointegration in dependent panel with structural breaks . Oxford Bulletin of Economics and Statistics , 70 : 665 – 704 .

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