Trends and Random Walks in Macroeconomic Time Series: Further Evidence From a New Approach
AbstractThis 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).
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 8650.
Length: 49P. pages
Date of creation: 1986
Date of revision:
Contact details of provider:
Postal: CP 6128, Succ. Centre-Ville, Montréal, Québec, H3C 3J7
Phone: (514) 343-6540
Fax: (514) 343-5831
Web page: http://www.sceco.umontreal.ca
More information through EDIRC
Research Methods ; Linear Models ; Trends ; Time Series;
Other versions of this item:
- Perron, Pierre, 1988. "Trends and random walks in macroeconomic time series : Further evidence from a new approach," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 297-332.
- F - International Economics
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sharon BREWER).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.