Long run and cyclical strong dependence in macroeconomic time series: Nelson and Plosser revisited
AbstractThis paper deals with the presence of long range dependence at the long run and the cyclical frequencies in macroeconomic time series. We use a procedure that allows us to test unit roots with fractional orders of integration in raw time series. The tests are applied to an extended version of Nelson and Plosserâs (1982) dataset, and the results show that, though the classic unit root hypothesis cannot be rejected in most of the series, fractional degrees of integration at both the zero and the cyclical frequencies are plausible alternatives in some cases. Additionally, the root at the zero frequency seems to be more important than the cyclical one for all series, implying that shocks affecting the long run are more persistent than those affecting the cyclical part. The results are consistent with the empirical fact observed in many macroeconomic series that the long-term evolution is nonstationary, while the cyclical component is stationary.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Springer in its journal Empirica.
Volume (Year): 34 (2007)
Issue (Month): 2 (April)
Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=100261
Fractional integration; Cyclical behaviour; Long memory; C22;
Other versions of this item:
- Luis A. Gil-Alana, . "Long run and cyclical strong dependence in macroeconomic time series. Nelson and Plosser revisited," Faculty Working Papers 17/06, School of Economics and Business Administration, University of Navarra.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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.:
- Crato, Nuno & Rothman, Philip, 1994. "Fractional integration analysis of long-run behavior for US macroeconomic time series," Economics Letters, Elsevier, vol. 45(3), pages 287-291.
- Diebold, Francis X. & Rudebusch, Glenn D., 1989.
"Long memory and persistence in aggregate output,"
Journal of Monetary Economics,
Elsevier, vol. 24(2), pages 189-209, September.
- Canova, Fabio, 1998.
"Detrending and business cycle facts,"
Journal of Monetary Economics,
Elsevier, vol. 41(3), pages 475-512, May.
- Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
- Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2008.
"Modelling Long-Run Trends and Cycles in Financial Time Series Data,"
CESifo Working Paper Series
2330, CESifo Group Munich.
- Guglielmo Maria Caporale & Juncal Cuñado & Luis A. Gil-Alana, 2013. "Modelling long-run trends and cycles in financial time series data," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 405-421, 05.
- Luis A. Gil-Alana & Juncal Cuñado & Guglielmo Maria Caporale, 2012. "Modelling Long Run Trends and Cycles in Financial Time Series Data," Faculty Working Papers 13/12, School of Economics and Business Administration, University of Navarra.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.