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Trends and Random Walks in Macroeconomic Time Series: A Re-examination

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Author Info
Rudebusch, Glenn D

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Abstract

In their 1982 article, C. R. Nelson and C. I. Plosser provided evidence supporting the existence of an autoregressive unit root in a variety of macroeconomic time series. The author reexamines their evidence using small-sample distributions for various unit root test statistics. These distributions are calculated from specific null and alternative models (including median-unbiased models that correct for OLS coefficient bias) estimated from the data. Contrary to earlier assertions, the null and alternative models of many macroeconomic series provide very different characterizations of persistence but cannot be distinguished with unit root tests. Copyright 1992 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

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Publisher Info
Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.

Volume (Year): 33 (1992)
Issue (Month): 3 (August)
Pages: 661-80
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Handle: RePEc:ier:iecrev:v:33:y:1992:i:3:p:661-80

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  1. Franco Bevilacqua & Adriaan van Zon, 2002. "Random Walks and Non-Linear Paths in Macroeconomic Time Series: Some Evidence and Implications," Working Papers geewp22, Vienna University of Economics and B.A. Research Group: Growth and Employment in Europe: Sustainability and Competitiveness. [Downloadable!]
  2. Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 0074, Department of Economics at the University of Washington. [Downloadable!]
  3. Gilberto A. Libanio, 2004. "Unit roots in macroeconomic time series: theory, implications, and evidence," Textos para Discussão Cedeplar-UFMG td228, Cedeplar, Universidade Federal de Minas Gerais. [Downloadable!]
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  4. Alex Maynard & Katsumi Shimotsu, 2007. "Covariance-based orthogonality tests for regressors with unknown persistence," Working Papers 1122, Queen's University, Department of Economics. [Downloadable!]
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  5. Francis X. Diebold & Roberto S. Mariano, 1991. "Comparing predictive accuracy I: an asymptotic test," Discussion Paper / Institute for Empirical Macroeconomics 52, Federal Reserve Bank of Minneapolis. [Downloadable!]
  6. John M. Roberts & Norman J. Morin, 1999. "Is hysteresis important for U.S. unemployment?," Finance and Economics Discussion Series 1999-56, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  7. Jan F. Kiviet & Garry D. A. Phillips, 2000. "Improved Coefficient and Variance Estimation in Stable First-Order Dynamic Regression Models," Econometric Society World Congress 2000 Contributed Papers 0631, Econometric Society. [Downloadable!]
  8. Johan Lyhagen, 2006. "The seasonal KPSS statistic," Economics Bulletin, Economics Bulletin, vol. 3(13), pages 1-9. [Downloadable!]
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  9. Lars E.O. Svensson, 2005. "Monetary Policy with Judgment: Forecast Targeting," NBER Working Papers 11167, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  10. Glenn D. Rudebusch & Lars E. O. Svensson, 1998. "Policy Rules for Inflation Targeting," NBER Working Papers 6512, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  11. Daniela De Angelis & Stefano Fachin & G. Alastair Young, 1997. "Bootstrapping unit root tests," Applied Economics, Taylor and Francis Journals, vol. 29(9), pages 1155-1161, September. [Downloadable!] (restricted)
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  12. James H. Stock, 1991. "Confidence Intervals for the Largest Autoresgressive Root in U.S. Macroeconomic Time Series," NBER Technical Working Papers 0105, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  13. Charles Nelson & Christian Murray, 1997. "The Uncertain Trend in U.S. GDP," Computational Economics 9702001, EconWPA. [Downloadable!]
  14. James Morley & Tara M. Sinclair, 2005. "Testing for Stationarity and Cointegration in an Unobserved Components Framework," Computing in Economics and Finance 2005 451, Society for Computational Economics. [Downloadable!]
  15. Troy Davig & Jeffrey R. Gerlach, 2006. "State-Dependent Stock Market Reactions to Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 2(4), December. [Downloadable!]
  16. Gilberto A. Libanio, 2004. "Unit roots in macroeconomic time series: a post Keynesian interpretation," Textos para Discussão Cedeplar-UFMG td233, Cedeplar, Universidade Federal de Minas Gerais. [Downloadable!]
  17. Barry Falk & Anindya Roy, 2006. "Efficiency Tradeoffs in Estimating the Linear Trend Plus Noise Model," Economics Bulletin, Economics Bulletin, vol. 3(6), pages 1-9. [Downloadable!]
  18. Yin-Wong Cheung & Menzie D. Chinn, 1996. "Further Investigation of the Uncertain Unit Root in GNP," NBER Technical Working Papers 0206, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  19. Ramon Moreno & Sun Bae Kim, 1993. "Money, interest rates and economic activity: stylized facts for Japan," Economic Review, Federal Reserve Bank of San Francisco, pages 12-24. [Downloadable!]
  20. Glenn D. Rudebusch, 2006. "Monetary Policy Inertia: Fact or Fiction?," International Journal of Central Banking, International Journal of Central Banking, vol. 2(4), December. [Downloadable!]
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  21. R. Velazquez & A.E. Noriega & L.M. Soria, 2004. "International Evidence on Monetary Neutrality Under Broken Trend Stationary Models," Econometric Society 2004 Latin American Meetings 57, Econometric Society. [Downloadable!]
  22. Donald W.K. Andrews, 1991. "Exactly Unbiased Estimation of First Order Autoregressive-Unit Root Models," Cowles Foundation Discussion Papers 975, Cowles Foundation, Yale University. [Downloadable!]
  23. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
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