Unit and Fractional Roots at the Long Run and the Seasonal Frequencies in Macroeconomic Time Series
AbstractIn this article, we show that macroeconomic time series may contain unit and fractional roots at both, at zero and at zero and at the seasonal frequencies. The importance of the root at the long run or zero frequency requires in many cases to consider this root at both, separately in an independent polynomial, and also included in the seasonal one. Several Monte Carlo experiments are conducted to examine cases when the root at the zero frequency is not appropriately considered. An empirical application based on the tests of Robinson, Peter M. “Efficient Tests of Nonstationary Hypotheses,” Journal of the American Statistical Association, 89, 1994, pp. 1420–37 is also carried out at the end of the article. Copyright International Atlantic Economic Society 2005
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Bibliographic InfoArticle provided by Springer in its journal International Advances in Economic Research.
Volume (Year): 11 (2005)
Issue (Month): 3 (August)
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Web page: http://www.springerlink.com/link.asp?id=112112
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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