An alternative mean reversion test for interest rates
A number of empirical studies assert that interest rates are governed by unit root processes rejecting any form of reversion to a long term mean by resorting to certain tests, among which the Augmented Dickey Fuller (ADF) is the most widely used one. In this study, we propose an alternative testing...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2018-03-01
|
| Series: | Central Bank Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S1303070117300628 |