Trends and random walks in macroeconomic time series : Further evidence from a new approach
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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