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| Author: | Wu, Y. Zhang, H. |
| Title: | Do interest rates follow unit-root processes? - evidence from cross-maturity treasury-bill yields |
| Journal: | Review of Quantitative Finance and Accounting
1997 : JAN, VOL. 8:1, p. 69-81 |
| Index terms: | ACCOUNTING INTEREST RATES TREASURY BILLS |
| Language: | eng |
| Abstract: | It is widely reported in the literature that interest rates follow integrated processes. Many empirical studies have, in fact, taken this result as a maintained hypothesis. This article demonstrates that the failure to reject the hypothesis that interest rates contain a unit root may be due to the severe power problem of standard test procedures in small samples. The authors analyze a panel of cross-maturity Treasury-bill yield series by employing a panel-based test. This test exploits cross-maturity variations of the data to improve estimation efficiency. |
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