Skip to main content
Article
Is the Federal Funds rate stationary? New evidence from P-ADF
Revista de Economia e Administração (2010)
  • Claudio D Shikida
  • Erik A Figueiredo
Abstract

Conventional econometric tests for the unit root hypothesis do not contemplate the existence of nonlinearities and non-Gaussian data in an appropriate fashion. This paper adds to the literature on the stationarity of the Federal Funds Rate (FFR) using P-ADF and M-estimators to properly deal with nonlinearities. Results indicate that the FFR time series is not stationary.

Keywords
  • unit root tests,
  • FED Funds
Disciplines
Publication Date
2010
Citation Information
Claudio D Shikida and Erik A Figueiredo. "Is the Federal Funds rate stationary? New evidence from P-ADF" Revista de Economia e Administração Vol. 9 Iss. 1 (2010)
Available at: http://works.bepress.com/claudio_shikida/12/