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Testing For Deterministic And Stochastic Cycles In Macroeconomic Time Series

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Author Info
Guglielmo Maria Caporale ()
Luis A. Gil-Alana

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Abstract

In this paper we use a statistical procedure which is appropriate to test for deterministic and stochastic (stationary and nonstationary) cycles in macroeconomic time series. These tests have standard null and local limit distributions and are easy to apply to raw time series. Monte Carlo evidence shows that they perform relatively well in the case of functional misspecification in the cyclical structure of the series. As an example, we use this approach to test for the presence of cycles in US real GDP.

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File URL: http://www.brunel.ac.uk/329/efwps/05-11.pdf
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Publisher Info
Paper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series Economics and Finance Discussion Papers with number 05-11.

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Length: 21 pages
Date of creation: Jun 2005
Date of revision:
Handle: RePEc:bru:bruedp:05-11

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Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK

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  1. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October. [Downloadable!] (restricted)
  2. Harvey, A C, 1985. "Trends and Cycles in Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 216-27, June.
  3. Gregoir, St phane, 1999. "Multivariate Time Series With Various Hidden Unit Roots, Part I," Econometric Theory, Cambridge University Press, vol. 15(04), pages 435-468, August. [Downloadable!]
  4. Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December. [Downloadable!] (restricted)
  5. Dalla, Violetta & Hidalgo, Javier, 2005. "A parametric bootstrap test for cycles," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 219-261. [Downloadable!] (restricted)
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  6. Herman J. Bierens, 2000. "Complex Unit Roots and Business Cycles: Are They Real?," Econometric Society World Congress 2000 Contributed Papers 0197, Econometric Society. [Downloadable!]
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