A simple method to test the Fisher effect
This alternative method of analysis applies the generalized method of moments developed by Hansen to the conditional restrictions implied by the Fisher effect. This approach has some advantages, i.e. it is robust to the non-normality of the error term, it is unnecessary to formulate the expected inflation rate explicitly, and the returns of multiple assets can be analysed simultaneously.
Year of publication: |
1997
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Authors: | Hamori, Shigeyuki |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 4.1997, 8, p. 477-479
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Publisher: |
Taylor & Francis Journals |
Saved in:
freely available
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