Complex Unit Roots And Business Cycles: Are They Real?
AbstractIn this paper the asymptotic properties of ARMA processes with complex-conjugate unit roots in the AR lag polynomial are studied. These processes behave quite differently from regular unit root processes (with a single root equal to one). In particular, the asymptotic properties of a standardized version of the periodogram for such processes are analyzed, and a nonparametric test of the complex unit root hypothesis against the stationarity hypothesis is derived. This test is applied to the annual change of the monthly number of unemployed in the United States to see whether this time series has complex unit roots in the business cycle frequencies.
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 17 (2001)
Issue (Month): 05 (October)
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Other versions of this item:
- Herman J. Bierens, 2000. "Complex Unit Roots and Business Cycles: Are They Real?," Econometric Society World Congress 2000 Contributed Papers 0197, Econometric Society.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gregoir, St phane, 1999.
"Multivariate Time Series With Various Hidden Unit Roots, Part I,"
Cambridge University Press, vol. 15(04), pages 435-468, August.
- Gregoir, St phane, 1999. "Multivariate Time Series With Various Hidden Unit Roots, Part Ii," Econometric Theory, Cambridge University Press, vol. 15(04), pages 469-518, August.
- Gregoir, Stephane, 2006. "Efficient tests for the presence of a pair of complex conjugate unit roots in real time series," Journal of Econometrics, Elsevier, vol. 130(1), pages 45-100, January.
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