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.
(This abstract was borrowed from another version of this item.)
Volume (Year): 34 (2007)
Issue (Month): 2 (April)
|Contact details of provider:|| Web page: http://www.springer.com|
Postal:c/o Universität Wien, Betriebswirtschaftszentrum, Brünnerstrasse 72, A-1210 Wien
Phone: +43 01 4277 - 38052
Fax: +43 01 4277 - 38054
Web page: http://www.noeg.ac.at/index.php?lang=en
More information through EDIRC
|Order Information:||Web: http://www.springer.com/economics/european+integration/journal/10663|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
"Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?,"
Journal of Econometrics,
Elsevier, vol. 54(1-3), pages 159-178.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- 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.
- Gregoir, St phane, 1999. "Multivariate Time Series With Various Hidden Unit Roots, Part I," Econometric Theory, Cambridge University Press, vol. 15(04), pages 435-468, August.
- 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)
When requesting a correction, please mention this item's handle: RePEc:kap:empiri:v:34:y:2007:i:2:p:155-169. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.