Are Net Discount Rates Stationary?: Some Further Evidence

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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.

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6 p.

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Haslag, Joseph H.; Nieswiadomy, Michael L. & Slottje, Daniel J. September 1994.

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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.

Physical Description

6 p.

Notes

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

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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  • Journal of Risk and Insurance, 1994, Malvern: American Risk and Insurance Association

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  • Publication Title: Journal of Risk and Insurance
  • Volume: 61
  • Issue: 3
  • Page Start: 513
  • Page End: 518
  • Pages: 6
  • Peer Reviewed: Yes

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  • September 1994

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  • Jan. 31, 2012, 10:30 a.m.

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  • May 12, 2014, 12:21 p.m.

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Haslag, Joseph H.; Nieswiadomy, Michael L. & Slottje, Daniel J. Are Net Discount Rates Stationary?: Some Further Evidence, article, September 1994; [Malvern, Pennsylvania]. (digital.library.unt.edu/ark:/67531/metadc71791/: accessed November 20, 2018), University of North Texas Libraries, Digital Library, digital.library.unt.edu; crediting UNT College of Arts and Sciences.