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Testing for deterministic and stochastic cycles in macroeconomic time series

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  • Guglielmo Caporale

    ()

  • Luis Gil-Alana

Abstract

In this paper we use a statistical procedure which is appropriate to test for deterministic and stochastic (stationary and nonstationary) cycles in macroeconomic time series. These tests have standard null and local limit distributions and are easy to apply to raw time series. Monte Carlo evidence shows that they perform relatively well in the case of functional misspecification in the cyclical structure of the series. As an example, we use this approach to test for the presence of cycles in US real GDP.

(This abstract was borrowed from another version of this item.)

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File URL: http://hdl.handle.net/10.1007/s10663-007-9033-4
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Bibliographic 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

Related research

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

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  1. Josu Artech & Peter M Robinson, 1998. "Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in Journal of Time Series Analysis, 21 (2000), pp.1-25.)," STICERD - Econometrics Paper Series /1998/359, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  2. Josu Artech & Peter M Robinson, 1998. "Seasonal and Cyclical Long Memory - (Now published in S Ghosh (ed): Asymptotics, Nonparametrics and Time Series: A Tribute to Madam Lal Puri (Marcel Decker, 1999), pp.115-145.)," STICERD - Econometrics Paper Series /1998/360, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  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.
  4. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "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?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  5. Violetta Dalla & Javier Hidalgo, 2005. "A Parametric Bootstrap Test for Cycles," STICERD - Econometrics Paper Series /2005/486, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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