Clemente, Jesús; Gadea, María Dolores; Montañés, Antonio - In: Econometrics : open access journal 5 (2017) 1, pp. 1-17
This study reconsiders the common unit root/co-integration approach to test for the Fisher effect for the economies of the G7 countries. We first show that nominal interest and inflation rates are better represented as I(0) variables. Later, we use the Bai–Perron procedure to show the...
