1. Difference between the short-term interest rate and that implied by a Taylor rule with interest rate smoothing (1) b) Difference between the short-term interest rate nad that implied by a standard Taylor rule (2) c) Difference between the real short-term interest rate and the natural rate Source: Authors' calculation. Notes: The Taylor rule is given by the formula i t =(1-?????+? ?? (? t -? ? ???? y? (y t -y t ? ???+ ??i t-1 , where the natural rate ??is calculated by means of a Hodrick and Prescott filter. (1) ? ? =1.5; ? y =0.5; ????????????? ? =0.5; ? y =0.5;The Performance of Hedge Funds: Risk, Return, and Incentives,1999
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4. Another Look at the Instrumental Variable Estimation of Error-Components Models;M Arellano;Journal of Econometrics,1995