This paper challenges the commonly used unit root/cointegration approach for testing the Fisher effect for the economies of the G7 countries. We first prove that nominal interest and inflation rate can be better represented as being broken trend stationary variables. Later, we use the Bai-Perron...

This paper studies the behavior of the HEGY statistics for quarterly data, for seasonal autoregressive unit roots, when the analyzed time series is deterministic seasonal stationary but exhibits a change in the seasonal pattern. As a by-product we analyze also the HEGY test for the nonseasonal...