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Unit Root Investigation of Greek Real Money Supply and GDP

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Author Info

  • Christos Karpetis
  • Erotokritos Varelas

    ()

  • Spyros Zikos

Abstract

In this article, the time series of Greek real GDP and real money supply are investigated for the presence of a unit root, allowing for maximum two breaks which take place at an unknown point in time. This methodology is preferred to conventional Dickey & Fuller tests because the covered time horizon, namely from 1858 to 1938, is characterized by a number of very important events, the nature of which is either economic or historical. In addition, time series stationarity is checked through a Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) test. Copyright IAES 2006

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File URL: http://hdl.handle.net/10.1007/s11294-006-9039-x
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Bibliographic Info

Article provided by Springer in its journal International Advances in Economic Research.

Volume (Year): 12 (2006)
Issue (Month): 4 (November)
Pages: 449-460

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Handle: RePEc:kap:iaecre:v:12:y:2006:i:4:p:449-460

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Web page: http://www.springerlink.com/link.asp?id=112112

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Keywords: C12; C13; C22; C52;

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  1. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
  2. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
  3. Sophia, 2003. "Greek Monetary Economics in Retrospect: The Adventures of the Drachma," Working Papers 02, Bank of Greece.
  4. Perron, Pierre & Vogelsang, Timothy J, 1992. "Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 467-70, October.
  5. Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992. "Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 271-87, July.
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Cited by:
  1. Christos Karpetis, 2008. "Money, Income and Inflation in Equilibrium – The Case of Greece," International Advances in Economic Research, Springer, vol. 14(2), pages 205-214, May.

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