Crockett, John H; Nothaft, Frank E; Wang, George H K - In: The Journal of Real Estate Finance and Economics 4 (1991) 4, pp. 409-19
This article investigates the linkage among six ARM indexes during the 1978-89 period. Granger's direct causality test is used to examine their relationship within a rolling regression framework. The nonstationary properties of each index and selected pairs of indexes are investigated by using...