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An empirical examination of the generalized Fisher effect using cross-sectional correlation robust tests for panel cointegration
(Elsevier Science BV, 2015-03)
This study examines the generalized Fisher hypothesis as applied to common stocks by using the recently proposed second generation panel cointegration tests. Unlike their predecessors, these new tests assume the existence ...
A note on the examination of the fisher hypothesis by using panel co-integration tests with break
(Institute foe Economic Forecasting, 2016)
One problem encountered when examining the Fisher hypothesis is that various policy changes and economic shocks may induce structural shifts in the long-run relation. We explore the argument that panel cointegration tests ...