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Original Articles

A simple method to test the Fisher effect

Pages 477-479 | Received 14 Nov 1996, Published online: 03 Sep 2008

References

  • Dickey , D.A. and Fuller , W.A. 1979 . Distribution of estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 31 .
  • Dickey , D.A. and Fuller , W.A. 1981 . Likelihood ratio statistics for autoregressive time series with a unit root . Econometrica , 49 : 1057 – 972 .
  • Hansen , L.P. 1982 . Large sample properties of generalized method of moments estimators . Econometrica , 50 : 1029 – 54 .
  • Mishkin , F.S. 1992 . Is the Fisher effect for real . Journal of Monetary Economics , 30 : 195 – 215 .
  • Mishkin, F.S. and Simon, J. (1995) An empirical examination of the Fisher effect in Australia, NBER Working Paper, No. 5080.
  • Said , E.S. and Dickey , D.A. 1985 . Hypothesis testing in ARIMA (p,1,q) Models . Journal of the American Statistical Association , 80 : 369 – 74 .

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