Search results for "Dickey–Fuller test"

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Testing the stationarity of interest rates using a SUR approach

1998

Abstract Using data on average yields to maturity of German bonds with different time to maturity it is shown that the time series contain a unit root if the standard augmented Dickey–Fuller test is applied separately to each series. To improve the power of the test we carried out a recently developed approach, estimating the regressions for each time to maturity jointly using a seemingly unrelated regressions approach.

Economics and EconometricsSeries (mathematics)Unit root testStatisticsEconomicsEconometricsPhillips–Perron testUnit rootDickey–Fuller testSeemingly unrelated regressionsMaturity (finance)Augmented Dickey–Fuller testFinanceEconomics Letters
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