Romero-Ávila, Diego - In: Canadian Journal of Economics 40 (2007) 3, pp. 980-1007
This paper investigates the stochastic properties of long-term and short-term nominal interest rates for the OECD over the post-war era. For that purpose, we employ univariate unit root tests as well as panel unit root and stationarity tests that explicitly allow for cross-sectional dependence....