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Testing Stochastic Cycles in Macroeconomic Time Series

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  • L. A. Gil‐Alana

Abstract

A particular version of the tests of Robinson (1994) for testing stochastic cycles in macroeconomic time series is proposed in this article. The tests have a standard limit distribution and are easy to implement in raw time series. A Monte Carlo experiment is conducted, studying the size and the power of the tests against different alternatives, and the results are compared with those based on other tests. An empirical application using historical US annual data is also carried out at the end of the article.

Suggested Citation

  • L. A. Gil‐Alana, 2001. "Testing Stochastic Cycles in Macroeconomic Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(4), pages 411-430, July.
    • Handle: RePEc:bla:jtsera:v:22:y:2001:i:4:p:411-430
    DOI: 10.1111/1467-9892.00233
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    JEL classification:

    • 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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