Long memory story of the real interest rate

Authors
Tsay, WJ
Citation
Wj. Tsay, Long memory story of the real interest rate, ECON LETT, 67(3), 2000, pp. 325-330
Citations number
20
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
67
Issue
3
Year of publication
2000
Pages
325 - 330
Database
ISI
SICI code
0165-1765(200006)67:3<325:LMSOTR>2.0.ZU;2-J
Abstract
This paper reexamines the time series properties of the US ex post real int erest rate. The estimation of the ARFIMA model using the Conditional Sum of Squares (CSS) method reveals that the ex post real interest rate can be we ll described using a fractionally integrated process. (C) 2000 Elsevier Sci ence S.A. All rights reserved.