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Unit roots in macroeconomic time series: theory, implications, and evidence

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  • Gilberto Libanio

    ()
    (UFMG)

Abstract

The theme of unit roots in macroeconomic time series has received a great amount of theoretical and applied research in the last two decades. This paper presents some of the main issues regarding unit root tests, explores some of the implications for macroeconomic theory and policy, and reviews the recent evidence on the presence of unit roots in GDP series for Latin American countries. We conclude that a consensual view on many of the aspects involved has not emerged from this literature.

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Bibliographic Info

Article provided by Economics Department, Universidade Federal de Minas Gerais (Brazil) in its journal Nova Economia.

Volume (Year): 15 (2005)
Issue (Month): 3 (September-December)
Pages: 145-176

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Handle: RePEc:nov:artigo:v:15:y:2005:i:3:p:145-176

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Keywords: time-series models; unit roots; business fluctuations;

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  1. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "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?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
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Citations

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Cited by:
  1. Atiq-ur-Rehman, Atiq-ur-Rehman & Zaman, Asad, 2009. "Impact of Model Specification Decisions on Unit Root Tests," MPRA Paper 19963, University Library of Munich, Germany.
  2. Hooi Hooi Lean & Russell Smyth, 2013. "Will initiatives to promote hydroelectricity consumption be effective? Evidence from univariate and panel LM unit root tests with structural breaks," Development Research Unit Working Paper Series 47-13, Monash University, Department of Economics.
  3. Srinivasan P. & Kalaivani M., 2013. "Determinants Of Foreign Institutional Investment In India: An Empirical Analysis," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, vol. 5(3 (Decemb), pages 361-375.
  4. Narayan, Paresh Kumar & Narayan, Seema & Smyth, Russell, 2011. "Energy consumption at business cycle horizons: The case of the United States," Energy Economics, Elsevier, vol. 33(2), pages 161-167, March.
  5. Mishra, Vinod & Sharma, Susan & Smyth, Russell, 2009. "Are fluctuations in energy consumption per capita transitory? Evidence from a panel of Pacific Island countries," Energy Policy, Elsevier, vol. 37(6), pages 2318-2326, June.
  6. Svetlana Maslyuk & Russell Smyth, 2007. "Non-Linear Unit Root Properties of Crude Oil Production," Development Research Unit Working Paper Series 39-07, Monash University, Department of Economics.
  7. Lean, Hooi Hooi & Smyth, Russell, 2009. "Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional integration," Energy Policy, Elsevier, vol. 37(8), pages 3205-3211, August.
  8. Russell Smyth, 2012. "Are fluctuations in energy variables permanent or transitory? A survey of the literature on the integration properties of energy consumption and production," Development Research Unit Working Paper Series 04-12, Monash University, Department of Economics.
  9. Nyong, M. O. & Udah, E. B., 2012. "Industrial Time Series of Nigeria, 1970-2009: Evolution and Unit Root Testing in the Presence of Multiple Endogenous Structural Breaks," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 12(1).
  10. P., Srinivasan & M., Kalaivani, 2012. "Exchange Rate Volatility and Export Growth in India: An Empirical Investigation," MPRA Paper 43828, University Library of Munich, Germany.

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