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Testing for deterministic and stochastic cycles in macroeconomic time series

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Author Info
Guglielmo Caporale ()
Luis Gil-Alana

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Abstract

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File URL: http://hdl.handle.net/10.1007/s10663-007-9033-4
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Publisher Info
Article provided by Springer in its journal Empirica.

Volume (Year): 34 (2007)
Issue (Month): 2 (April)
Pages: 155-169
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Handle: RePEc:kap:empiri:v:34:y:2007:i:2:p:155-169

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Web page: http://www.springerlink.com/link.asp?id=100261

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Related research
Keywords: Deterministic cycles; Stochastic cycles; Long memory; C22;

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References listed on IDEAS
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.:
  1. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October. [Downloadable!] (restricted)
  2. Harvey, A C, 1985. "Trends and Cycles in Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 216-27, June.
  3. Gregoir, St phane, 1999. "Multivariate Time Series With Various Hidden Unit Roots, Part I," Econometric Theory, Cambridge University Press, vol. 15(04), pages 435-468, August. [Downloadable!]
  4. Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December. [Downloadable!] (restricted)
  5. Dalla, Violetta & Hidalgo, Javier, 2005. "A parametric bootstrap test for cycles," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 219-261. [Downloadable!] (restricted)
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  6. Herman J. Bierens, 2000. "Complex Unit Roots and Business Cycles: Are They Real?," Econometric Society World Congress 2000 Contributed Papers 0197, Econometric Society. [Downloadable!]
    Other versions:
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This page was last updated on 2009-11-25.

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