Working Paper
Are net discount rates stationary?: some further evidence
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.
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Bibliographic Information
Provider: Federal Reserve Bank of Dallas
Part of Series: Working Papers
Publication Date: 1993
Number: 9341
Pages: 16 pages
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.