Unit Root Testing in the Presence of Mean Reverting Jumps: Evidence from US T-Bond Yields
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DOI: 10.1515/ijnsns-2018-0012
Abstract: Abstract Mean reversion of financial data, especially interest rates is often tested by linear unit root tests. However, there are times where linear unit root test results can be misleading especially when mean reverting jump… read more here.
Keywords: unit; unit root; test; root testing ... See more keywords