The Great Crash, the Oil Prices and the Unit Root Hypothesis
AbstractWe Consider the Null Hypothesis That a Time Series Has a Unit Root with Possibly Non-Zero Drift Against the Alternative That the Process Is 'Trend-Stationary'. the Interest Is That We Allow Under Both the Null and Alternative Hypotheses for the Presence of a One-Time Change in the Level Or in the Slope of the Trend Function. We Show How Standard Tests of the Unit Root Hypothesis Against Trend Stationary Alternatives Cannot Reject the Unit Root Hypothesis If the True Data Generating Mechanism Is That of Stationay Fluctuations Around a Trend Function Which Contains a One-Time Break. This Holds Even Asymptotically. We Derive Test Statistics Which Allow Us to Distinguish the Two Hypotheses When a Break Is Present. Their Limiting Distribution Is Established and Selected Percentage Points Are Tabulated. We Apply These Tests to the Nelson-Plosser Data Set. the Break Is Due to the 1929 Crash and Takes the Form of a Sudden Change in the Level of the Series. for 11 Out of the 14 Series Analysed by Nelson and Plosser We Can Reject At a High Confidence Level the Unit Root Hypothesis. a Similar Rejection Occurs Considering the Post-War Quaterly Real Gnp Series When We Allow a Break in the Trend Function Taking the Form of a Change in the Slope After 1973. Most Macroeconomic Time Series Are Not Characterized by the Presence of a Unit Root Fluctuations Are Indeed Stationary Around a Deterministic Trend Function. the Only 'Shocks' Which Have Had Persistent Effects Are the 1929 Crash and the 1973 Oil Price Shock.
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 8749.
Length: 46P. pages
Date of creation: 1987
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
Structural Change ; Research Methods;
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Chang-Jin Kim & Jeremy Piger & Richard Startz, 2001. "Permanent and transitory components of business cycles: their relative importance and dynamic relationship," International Finance Discussion Papers 703, Board of Governors of the Federal Reserve System (U.S.).
- B. da Silva Lopes, Artur C., 2005. "Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests," MPRA Paper 125, University Library of Munich, Germany, revised May 2006.
- Chang-Jin Kim & Jeremy Piger & Richard Startz, 2005.
"The dynamic relationship between permanent and transitory components of U.S. business cycles,"
2001-017, Federal Reserve Bank of St. Louis.
- Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2007. "The Dynamic Relationship between Permanent and Transitory Components of U.S. Business Cycles," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 187-204, 02.
- Chang-Jin Kim & Jeremy Piger & Richard Startz, 2003. "The Dynamic Relationship Between Permanent and Transitory Components of U.S. Business Cycle," Working Papers UWEC-2003-36, University of Washington, Department of Economics.
- Chang-Jin Kim & Jeremy Piger, 2000.
"Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations,"
Econometric Society World Congress 2000 Contributed Papers
1465, Econometric Society.
- Kim, Chang-Jin & Piger, Jeremy, 2002. "Common stochastic trends, common cycles, and asymmetry in economic fluctuations," Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1189-1211, September.
- Chang-Jin Kim & Jeremy Piger, 2000. "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Working Papers 0021, University of Washington, Department of Economics.
- Chang-Jin Kim & Jeremy M. Piger, 2001. "Common stochastic trends, common cycles, and asymmetry in economic fluctuations," Working Papers 2001-014, Federal Reserve Bank of St. Louis.
- Chang-Jin Kim & Jeremy Piger, 2000. "Common stochastic trends, common cycles, and asymmetry in economic fluctuations," International Finance Discussion Papers 681, Board of Governors of the Federal Reserve System (U.S.).
- Chang-Jin Kim & Jeremy Piger, 2000. "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Discussion Papers in Economics at the University of Washington 0021, Department of Economics at the University of Washington.
- Bentzen, Jan & Smith, Valdemar, 2002. "An empirical analysis of the effect of labour market characteristics on marital dissolution rates," Working Papers 02-14, University of Aarhus, Aarhus School of Business, Department of Economics.
- Bertrand Candelon & Luis A. Gil-Alana, 2004.
"Fractional integration and business cycle features,"
Springer, vol. 29(2), pages 343-359, 05.
- Candelon, Bertrand & Gil-Alaña, Luis A., 2001. "Fractional integration and business cycle features," SFB 373 Discussion Papers 2001,46, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Luis A. Gil-Alana & Bertrand Candelon, 2004. "Fractional Integration and Business Cycles Features," Faculty Working Papers 09/04, School of Economics and Business Administration, University of Navarra.
- Erkin Bairam & Lawrence Ng, 2001. "Thirlwall's Law and the Stability of Export and Import Income Elasticities," International Review of Applied Economics, Taylor & Francis Journals, vol. 15(3), pages 287-303.
- Christian Richter & Andrew Hughes Hallett, 2005. "A Time-Frequency Analysis of the Coherences of the US Business," Computing in Economics and Finance 2005 45, Society for Computational Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sharon BREWER).
If references are entirely missing, you can add them using this form.