Are Net Discount Rates Stationary?: Some Further Evidence

Description:

Article discussing research suggesting that the net discount ration experienced a level shift in the mean between 1977 and 1981 and the resulting possible affects.

Creator(s):
Creation Date: September 1994
Partner(s):
UNT College of Arts and Sciences
Collection(s):
UNT Scholarly Works
Usage:
Total Uses: 156
Past 30 days: 4
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Creator (Author):
Haslag, Joseph H.

University of Missouri

Creator (Author):
Nieswiadomy, Michael L.

University of North Texas

Creator (Author):
Slottje, Daniel J.

Southern Methodist University

Publisher Info:
Place of Publication: [Malvern, Pennsylvania]
Date(s):
  • Creation: September 1994
Description:

Article discussing research suggesting that the net discount ration experienced a level shift in the mean between 1977 and 1981 and the resulting possible affects.

Degree:
Department: Economics
Note:

Reprinted with permission from the Editor of the Journal of Risk and Insurance.

Note:

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.

Physical Description:

6 p.

Language(s):
Subject(s):
Keyword(s): net discount rates | analyses
Source: Journal of Risk and Insurance, 1994, Malvern: American Risk and Insurance Association
Partner:
UNT College of Arts and Sciences
Collection:
UNT Scholarly Works
Identifier:
  • ARK: ark:/67531/metadc71791
Resource Type: Article
Format: Text
Rights:
Access: Public
Citation:
Publication Title: Journal of Risk and Insurance
Volume: 61
Issue: 3
Page Start: 513
Page End: 518
Pages: 6
Peer Reviewed: Yes