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Unit roots in macroeconomic time series: theory, implications, and evidence Author info | Abstract | Publisher info | Download info | Related research | Statistics Gilberto Libanio () (UFMG)
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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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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:145-176Contact details of provider: Postal: Av. Antonio Carlos, 6627 - Predio da FACE Belo Horizonte, 31270-901 Brazil Phone: +55 31 3409-7000 Email: Web page: http://www.face.ufmg.br/ More information through EDIRC
Order Information: Postal: Av. Antonio Carlos, 6627 - Predio da FACE Belo Horizonte, 31270-901 Brazil Email: Web: http://www.face.ufmg.br/novaeconomia/
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Keywords: time-series models ; unit roots ; business fluctuations ; Other versions of this item:
Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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Papers
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