This study reconsiders the common unit root/co-integration approach to test for the Fisher effect for the economies of the G7 countries. We first show that nominal interest and inflation rates are better represented as I(0) variables. Later, we use the Bai–Perron procedure to show the...

In this paper, we obtain a statistic that is useful for the analysis of the integration order of a variable which exhibits two changes in its mean. Our work begins by showing that the most commonly used unit root tests behave asymptotically in a correct manner for double changing mean variables....