{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,23]],"date-time":"2026-09-23T06:50:24Z","timestamp":1790146224142,"version":"4.0.1"},"reference-count":25,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2004,11,26]],"date-time":"2004-11-26T00:00:00Z","timestamp":1101427200000},"content-version":"vor","delay-in-days":25,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2004,11]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>It is argued that univariate long memory estimates based on <jats:italic>ex post<\/jats:italic> data tend to underestimate the persistence of <jats:italic>ex ante<\/jats:italic> variables (and, hence, that of the <jats:italic>ex post<\/jats:italic> variables themselves) because of the presence of unanticipated shocks whose short\u2010run volatility masks the degree of long\u2010range dependence in the data. Empirical estimates of long\u2010range dependence in the Fisher equation are shown to manifest this problem and lead to an apparent imbalance in the memory characteristics of the variables in the Fisher equation. Evidence in support of this typical underestimation is provided by results obtained with inflation forecast survey data and by direct calculation of the finite sample biases.<\/jats:p><jats:p>To address the problem of bias, the paper introduces a bivariate exact Whittle (BEW) estimator that explicitly allows for the presence of short memory noise in the data. The new procedure enhances the empirical capacity to separate low\u2010frequency behaviour from high\u2010frequency fluctuations, and it produces estimates of long\u2010range dependence that are much less biased when there is noise contaminated data. Empirical estimates from the BEW method suggest that the three Fisher variables are integrated of the same order, with memory parameter in the range (0.75, 1). Since the integration orders are balanced, the <jats:italic>ex ante<\/jats:italic> real rate has the same degree of persistence as expected inflation, thereby furnishing evidence against the existence of a (fractional) cointegrating relation among the Fisher variables and, correspondingly, showing little support for a long\u2010run form of Fisher hypothesis. Copyright \u00a9 2004 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.760","type":"journal-article","created":{"date-parts":[[2004,11,26]],"date-time":"2004-11-26T18:47:18Z","timestamp":1101494838000},"page":"869-886","source":"Crossref","is-referenced-by-count":80,"title":["Understanding the Fisher equation"],"prefix":"10.1002","volume":"19","author":[{"given":"Yixiao","family":"Sun","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Peter C. 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