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Trends and random walks in macroeconomic time series: A reappraisal

Author

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  • Amélie Charles

    (Audencia Recherche - Audencia Business School)

  • Olivier Darné

    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - IEMN-IAE Nantes - Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes - UN - Université de Nantes)

Abstract

In this paper we re-analyze the nature of the trend (deterministic or stochastic) in the Nelson-Plosser macroeconomic data set from an alternative method relative to the previous studies. We underline the effects of large, but infrequent shocks due to major economic or financial events on US macroeconomic time series, such as the Great Depression, World War II and recessions, using outlier methodology. We apply an ADF test corrected for detected outliers based on intervention models and calculate the specific critical values of the unit root tests for each series. The results point out the rejection of the unit root null hypothesis for five of the fourteen Nelson-Plosser macroeconomic time series, namely real GNP, real per capita GNP, industrial production, employment and unemployment.

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  • Amélie Charles & Olivier Darné, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Post-Print hal-00956937, HAL.
    • Handle: RePEc:hal:journl:hal-00956937
    DOI: 10.1016/j.jmacro.2011.10.001
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    More about this item

    Keywords

    Macroeconomic time series; Unit root; Outliers;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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