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Nonlinearity in US macroeconomic time series

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  • Gawon Yoon

Abstract

In this study, we evaluate the linearity of 170 major monthly US macroeconomic time series spanning the years 1959-2002. Employing the linearity test recently proposed by Harvey et al. (2008), which is applicable when the order of integration is uncertain, we determined that more than half of the macroeconomic time series were nonlinear. In particular, approximately 75% of the time series in nominal prices, wages and money category were determined to be nonlinear, whereas the least abundant evidence, corresponding to approximately 43% of the series, was detected in the category of construction, inventories and order.

Suggested Citation

  • Gawon Yoon, 2010. "Nonlinearity in US macroeconomic time series," Applied Economics Letters, Taylor & Francis Journals, vol. 17(16), pages 1601-1609.
    • Handle: RePEc:taf:apeclt:v:17:y:2010:i:16:p:1601-1609
    DOI: 10.1080/13504850903085001
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    Cited by:

    1. Rossen Anja, 2016. "On the Predictive Content of Nonlinear Transformations of Lagged Autoregression Residuals and Time Series Observations," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 236(3), pages 389-409, May.
    2. Muhammed TIRAŞOĞLU, 2019. "Unemployment hysteresis analysis for OECD countries," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(621), W), pages 53-62, Winter.
    3. Yavuz, Nilgün Çil & Yilanci, Veli, 2012. "Testing For Nonlinearity In G7 Macroeconomic Time Series," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 69-79, September.
    4. Muhammed TIRAŞOĞLU, 2018. "Fisher Hipotezinin MINT Ülkeleri İçin İncelenmesi: Eşik Değerli Adl Eşbütünleşme Testi Yaklaşımı," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 14(28), pages 31-43, December.
    5. repec:agr:journl:v:4(621):y:2019:i:4(621):p:53-62 is not listed on IDEAS

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