This paper analyses the presence of unit roots in some macroeconomic time series of the Spanish economy. Stochastic properties of the time series have been studied focusing on two aspects, both consistent with the possibility that there might be structural changes affecting the time series deterministic component. On the one hand, we carry out an integrability analysis through those tests statistics that allow to consider non-linear deterministic components. On the other hand, we have also applied stationarity tests with structural breaks. The combination of the results that are drawn by these two methodologies will let us to ensure how robust is the presence of unit roots in the selected macroeconomic time series. Finally, the use of the historical time series of Prados (1993) and the shorter Spanish macroeconomic time series that are employed in empirical research will show us the sensibility degree of our analysis to the time period.
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Paper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number
38.
Length: 0 pages Date of creation: 1998 Date of revision: Handle: RePEc:bar:bedcje:199838
Contact details of provider: Postal: Espai de Recerca en Economia, Facultat de Ciències Econòmiques. Tinent Coronel Valenzuela, Num 1-11 08034 Barcelona. Spain. Web page: http://www.ere.ub.es More information through EDIRC
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Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing