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APPENDIX S1. The Beveridge-Nelson decomposition.

APPENDIX S2. The expected future sum of the real interest differentials.

APPENDIX S3. OLS and the t-test as not desirable method.

APPENDIX S4. Simulations.

Table S1. Rejection rates of unit root tests.

Figure S1. The estimated bias &bcaron;2 and the misperception parameter a(1).

ECIN_387_sm_suppl.pdf754KSupporting info item

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