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).
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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:
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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
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