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Trends and Random Walks in Macroeconomic Time Series: Further Evidence From a New Approach

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  • Perron, P.

Abstract

This Paper Presents a Summary of Recent Work on a New Methodology to Test for the Presence of a Unit Root in Univariate Time Series Models. the Stochastic Framework Is Quite General. While the Dickey-Fuller Approach Accounts for the Autocorrelation of the First-Differences of a Serie in a Paremetric Fashion by Estimating Additional Nuisance Parameters, This New Approach Deals with This Phenomenon in a Nonparametric Way. We Apply These New Tests to Reassess Recent Findings on the Behavior of Common Macroeconomic Time Series, Including the Various Series Studies by Nelson and Plosser (1982).

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Bibliographic Info

Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 8650.

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Length: 49P. pages
Date of creation: 1986
Date of revision:
Handle: RePEc:mtl:montde:8650

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Keywords: Research Methods ; Linear Models ; Trends ; Time Series;

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