Are net discount rates stationary?: some further evidence

Joseph Haslag, Michael Nieswiadomy and Daniel Slottje

No 9341, Working Papers from Federal Reserve Bank of Dallas

Abstract: Gamber and Sorensen provide evidence suggesting that the net discount ratio experienced a level shift in the mean between 1977 and 1981. If such a shift occurred, the nonlinearity in the data shows up as a failure to reject the null hypothesis that a unit root is present; that is, the series is I(1). In this reply, evidence is presented-the Phillips-Perron test and a univariate version of the Stock-Watson q-test-suggesting that the net discount ratio is stationary. Hence, the mean is constant. In addition, if one extends the analysis to include the 1989 through 1993 period, the net discount ratio appears to be reverting.

Pages: 16 pages
Date: 1993
Note: Published as: Haslag, Joseph H., Michael Nieswiadomy and D.J. Slottje (1994), "Are Net Discount Rates Stationary? Some Further Evidence," The Journal of Risk and Insurance 61 (3): 513-518.
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Citations: View citations in EconPapers (5)

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