Testing for deterministic and stochastic cycles in macroeconomic time series
In this paper we use a statistical procedure which is appropriate to test for deterministic and stochastic (stationary and nonstationary) cycles in macroeconomic time series. These tests have standard null and local limit distributions and are easy to apply to raw time series. Monte Carlo evidence shows that they perform relatively well in the case of functional misspecification in the cyclical structure of the series. As an example, we use this approach to test for the presence of cycles in US real GDP.
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Volume (Year): 34 (2007)
Issue (Month): 2 (April)
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- Josu Arteche & Peter M. Robinson, 1998. "Seasonal and cyclical long memory," LSE Research Online Documents on Economics 2241, London School of Economics and Political Science, LSE Library.
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- Josu Arteche & Peter M. Robinson, 1998. "Semiparametric inference in seasonal and cyclical long memory processes," LSE Research Online Documents on Economics 2203, London School of Economics and Political Science, LSE Library.
- Gregoir, St phane, 1999. "Multivariate Time Series With Various Hidden Unit Roots, Part Ii," Econometric Theory, Cambridge University Press, vol. 15(04), pages 469-518, August.
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- Dalla, Violetta & Hidalgo, Javier, 2005. "A parametric bootstrap test for cycles," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 219-261. Full references (including those not matched with items on IDEAS)
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