Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries
利用12个OECD国家的利率面板数据，通过多变量检验发现利率存在均值回归，推翻了以往单变量检验无法拒绝单位根假设的结论。
Previous studies show that the standard univariate unit root tests cannot reject the hypothesis that interest rates follow integrated processes. In this paper, the authors pool interest rate data of twelve OECD countries and implement a multivariate test. It is found that the unit root hypothesis can be decisively rejected. Copyright 1996 by Ohio State University Press.