IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789812701015_0002.html
   My bibliography  Save this book chapter

How big is the random walk in macroeconomic time series: Variance ratio tests

In: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays

Author

Listed:
  • A. G. Malliaris

    (Loyola University of Chicago, Chicago, IL 60611, USA)

  • Jorge L. Urrutia

    (Loyola University of Chicago, Chicago, IL 60611, USA)

Abstract

The paper applies the Lo and MacKinlay (1988) and Cochrane (1988) variance-ratio test to the data sample used by Nelson and Plosser (1982), who studies the stationarity properties of 14 macroeconomic variables. The results of our empirical tests indicate that the macroeconomic time series have significant random walk components, with the exception of unemployment, real wages, real per capita GNP and industrial production. These results generally agree with those reported earlier by Nelson and Plosser who found that 13 out of 14 macroeconomic variables followed random walk and with Cochrane who, more recently, found that GNP had a small random walk component. The contribution of this paper lies in its use of a very recent methodology to estimate the magnitude of the random walk component of certain macroeconomic time series.

Suggested Citation

  • A. G. Malliaris & Jorge L. Urrutia, 2005. "How big is the random walk in macroeconomic time series: Variance ratio tests," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 2, pages 9-12, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812701015_0002
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789812701015_0002
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789812701015_0002
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ser‐Huang Poon, 1996. "Persistence and mean reversion in UK stock returns," European Financial Management, European Financial Management Association, vol. 2(2), pages 169-196, July.
    2. Jiranyakul, Komain, 2007. "Behavior of Stock Market Index in the Stock Exchange of Thailand," MPRA Paper 45961, University Library of Munich, Germany.

    More about this item

    Keywords

    Asymptotic Economic Growth; Inflation; Interest Rates; Asset Pricing; Equity Markets; Foreign Currency; Monetary Policy; Crash;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789812701015_0002. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.