Testing the stationarity of interest rates using a SUR approach

被引：6

作者：

Balz, C ^{[1
]}

机构：

[1] Univ Mainz, Dept Econ, Inst Stat & Econometr, D-6500 Mainz, Germany

来源：

ECONOMICS LETTERS | 1998年 / 60卷 / 02期

关键词：

interest rates; seemingly unrelated regression; unit roots;

D O I：

10.1016/S0165-1765(98)00095-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Using data on average yields to maturity of German bonds with different time to maturity it is shown that the time series contain a unit root if the standard augmented Dickey-Fuller test is applied separately to each series. To improve the power of the test we carried out a recently developed approach, estimating the regressions for each time to maturity jointly using a seemingly unrelated regressions approach. (C) 1998 Elsevier Science S.A. All rights reserved.

引用

页码：147 / 150

页数：4

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