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.
- unit root tests,
- FED Funds
Available at: http://works.bepress.com/claudio_shikida/12/