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Testing of unit root and other nonstationary hypotheses in macroeconomic time series

  • Gil-Alana, L. A.
  • Robinson, P. M.

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File URL: http://www.sciencedirect.com/science/article/pii/S0304-4076(97)00038-9
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 80 (1997)
Issue (Month): 2 (October)
Pages: 241-268

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Handle: RePEc:eee:econom:v:80:y:1997:i:2:p:241-268
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  3. Demery, D & Duck, N W, 1992. "Are Economic Fluctuations Really Persistent? A Reinterpretation of Some International Evidence," Economic Journal, Royal Economic Society, vol. 102(414), pages 1094-101, September.
  4. Campbell, John & Mankiw, Gregory, 1987. "Are Output Fluctuations Transitory?," Scholarly Articles 3122545, Harvard University Department of Economics.
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  7. Terence C. Mills, 1994. "Infrequent Permanent Shocks And The Unit Root In Quarterly Uk Output," Bulletin of Economic Research, Wiley Blackwell, vol. 46(1), pages 91-94, 01.
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  9. Francis X. Diebold & Glenn D. Rudebusch, 1988. "Long memory and persistence in aggregate output," Finance and Economics Discussion Series 7, Board of Governors of the Federal Reserve System (U.S.).
  10. Johansen, Søren, 1992. "A Representation of Vector Autoregressive Processes Integrated of Order 2," Econometric Theory, Cambridge University Press, vol. 8(02), pages 188-202, June.
  11. Lawrence J. Christiano & Martin Eichenbaum, 1990. "Unit roots in real GNP: do we know, and do we care?," Working Paper Series, Macroeconomic Issues 90-2, Federal Reserve Bank of Chicago.
  12. Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation for Research in Economics, Yale University.
  13. Alok Bhargava, 1986. "On the Theory of Testing for Unit Roots in Observed Time Series," Review of Economic Studies, Oxford University Press, vol. 53(3), pages 369-384.
  14. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
  15. James H. Stock, 1992. "Deciding Between I(1) and I(0)," NBER Technical Working Papers 0121, National Bureau of Economic Research, Inc.
  16. Mills, Terence C, 1992. "How Robust Is the Finding That Innovations to UK Output Are Persistent?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 39(2), pages 154-66, May.
  17. Schotman, Peter & van Dijk, Herman K., 1991. "A Bayesian analysis of the unit root in real exchange rates," Journal of Econometrics, Elsevier, vol. 49(1-2), pages 195-238.
  18. Christiano, Lawrence J, 1992. "Searching for a Break in GNP," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 237-50, July.
  19. Koop, Gary, 1991. "Intertemporal Properties of Real Output: A Bayesian Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(3), pages 253-65, July.
  20. Danny Quah, 1988. "The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds," Working papers 498, Massachusetts Institute of Technology (MIT), Department of Economics.
  21. Leybourne, S J & McCabe, B P M, 1994. "A Consistent Test for a Unit Root," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 157-66, April.
  22. Apostolos Serletis, 1992. "The Random Walk in Canadian Output," Canadian Journal of Economics, Canadian Economics Association, vol. 25(2), pages 392-406, May.
  23. Bhargava, Alok, 1990. "An Econometric Analysis of the U.S. Postwar G.N.P," Journal of Population Economics, Springer;European Society for Population Economics, vol. 3(2), pages 147-56, August.
  24. Ben-David, Dan & Papell, David, 1994. "The Great Wars, the Great Crash, and the Unit Root Hypothesis: Some New Evidence About An Old Stylized Fact," CEPR Discussion Papers 965, C.E.P.R. Discussion Papers.
  25. Durlauf, Steven N & Phillips, Peter C B, 1988. "Trends versus Random Walks in Time Series Analysis," Econometrica, Econometric Society, vol. 56(6), pages 1333-54, November.
  26. Phillips, P C B, 1991. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 333-64, Oct.-Dec..
  27. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October.
  28. Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 257-87, August.
  29. Sims, Christopher A & Uhlig, Harald, 1991. "Understanding Unit Rooters: A Helicopter Tour," Econometrica, Econometric Society, vol. 59(6), pages 1591-99, November.
  30. Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, vol. 47(1), pages 67-84, January.
  31. Cheung, Yin-Wong & Lai, Kon S., 1992. "International evidence on output persistence from postwar data," Economics Letters, Elsevier, vol. 38(4), pages 435-441, April.
  32. Krol, Robert, 1992. "Trends, Random Walks and Persistence: An Empirical Study of Disaggregated U.S. Industrial Production," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 154-59, February.
  33. Stock, James H. & Watson, Mark W., 1986. "Does GNP have a unit root?," Economics Letters, Elsevier, vol. 22(2-3), pages 147-151.
  34. DeJong, David N., 1992. "Co-integration and trend-stationarity in macroeconomic time series : Evidence from the likelihood function," Journal of Econometrics, Elsevier, vol. 52(3), pages 347-370, June.
  35. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
  36. Schwert, G. William, 1987. "Effects of model specification on tests for unit roots in macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 20(1), pages 73-103, July.
  37. Stock, James H., 1991. "Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series," Journal of Monetary Economics, Elsevier, vol. 28(3), pages 435-459, December.
  38. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
  39. 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.
  40. Charles R. Nelson & Heejoon Kang, 1983. "Pitfalls in the use of Time as an Explanatory Variable in Regression," NBER Technical Working Papers 0030, National Bureau of Economic Research, Inc.
  41. Robinson, P M, 1993. "Highly Insignificant F-Ratios," Econometrica, Econometric Society, vol. 61(3), pages 687-96, May.
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