Reconciling interest rates evidence with theory: Rejecting unit roots when the HD(1) is a competing alternative
提出HD(1)过程及其近似aHD(1)，用于估计和校准利率数据，发现该模型优于ARMA、SETAR和RCA，且单位根检验拒绝所有利率和收益率的单位根假设。
The paper introduces the HD(1), a Markovian process of order one with reversion rates that are faster the farther the process is from equilibrium. The aHD(1) approximation is introduced to allow for an estimation-calibration procedure based on available ARMA routines. Critical values of unit root tests with aHD(1) alternative are tabulated for the signed likelihood-ratio statistic. Revisiting the non-stationarity of interest rates stylized fact, the aHD(1) is found to be preferred to ARMA, SETAR and RCA and the resulting tests to reject the unit root hypothesis for all rates and yields considered.