Greg Tkacz - Latest

• Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator

  Staff Working Paper 2000-5 Greg Tkacz

  The debate on the order of integration of interest rates has long focused on the I(1) versus I(0) distinction. In this paper, we use instead the wavelet OLS estimator of Jensen (1999) to estimate the fractional integration parameters of several interest rates for the United States and Canada from 1948 to 1999.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C13, E, E4, E43