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Unit roots in macroeconomic time series: a post Keynesian interpretation

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  • Gilberto A. Libanio

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Abstract

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 focuses on the implications of the existence of unit roots for macroeconomic theorizing. It is argued that the presence of unit roots in GNP time series provide support to the general perspective adopted by Keynes and post Keynesians on output and employment fluctuations, on the non-neutrality of money in the long run, and on some economic policy issues.

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Bibliographic Info

Paper provided by Cedeplar, Universidade Federal de Minas Gerais in its series Textos para Discussão Cedeplar-UFMG with number td233.

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Length: 18 pages
Date of creation: Jun 2004
Date of revision:
Handle: RePEc:cdp:texdis:td233

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Keywords: time series; unit roots; post Keynesian economics;

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  1. Rod Cross, 1993. "Hysteresis and Post Keynesian Economics," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 15(3), pages 305-308, April.
  2. Kenneth D. West, 1987. "On the Interpretation of Near Random-Walk Behavior in GNP," NBER Working Papers 2364, National Bureau of Economic Research, Inc.
  3. Mark Setterfield, 1999. "Expectations, Path Dependence and Effective Demand: A Macroeconomic Model along Keynesian Lines," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 21(3), pages 479-501, April.
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  6. Paul Davidson, 1993. "The Elephant and the Butterfly: Or Hysteresis and Post Keynesian Economics," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 15(3), pages 309-322, April.
  7. Fischer, Stanley, 1977. "Long-Term Contracts, Rational Expectations, and the Optimal Money Supply Rule," Journal of Political Economy, University of Chicago Press, vol. 85(1), pages 191-205, February.
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  12. Christiano, Lawrence J. & Eichenbaum, Martin, 1990. "Unit roots in real GNP: Do we know, and do we care?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 32(1), pages 7-61, January.
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  14. John Elder & Peter E. Kennedy, 2001. "Testing for Unit Roots: What Should Students Be Taught?," The Journal of Economic Education, Taylor & Francis Journals, vol. 32(2), pages 137-146, January.
  15. Rudebusch, Glenn D, 1992. "Trends and Random Walks in Macroeconomic Time Series: A Re-examination," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(3), pages 661-80, August.
  16. Bennett T. McCallum, 1986. "On "Real" and "Sticky-Price" Theories of the Business Cycle," NBER Working Papers 1933, National Bureau of Economic Research, Inc.
  17. Paul Davidson, 1991. "Is Probability Theory Relevant for Uncertainty? A Post Keynesian Perspective," Journal of Economic Perspectives, American Economic Association, vol. 5(1), pages 129-143, Winter.
  18. Cribari-Neto, Francisco, 1996. "On time series econometrics," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(Supplemen), pages 37-60.
  19. Francisco Cribari Neto, 1992. "Persistência de inovações e política econômica: a experiência do II PND," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 46(3), pages 413-428, July.
  20. Lucas, Robert E, Jr, 1973. "Some International Evidence on Output-Inflation Tradeoffs," American Economic Review, American Economic Association, vol. 63(3), pages 326-34, June.
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