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Testing for deterministic and stochastic cycles in macroeconomic time series

  • Guglielmo Caporale


  • Luis Gil-Alana

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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Article provided by Springer in its journal Empirica.

Volume (Year): 34 (2007)
Issue (Month): 2 (April)
Pages: 155-169

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Handle: RePEc:kap:empiri:v:34:y:2007:i:2:p:155-169
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  1. 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.
  2. 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.
  3. repec:cep:stiecm:/1998/360 is not listed on IDEAS
  4. Dalla, Violetta & Hidalgo, Javier, 2005. "A parametric bootstrap test for cycles," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 219-261.
  5. 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.
  6. 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.
  7. repec:cep:stiecm:/1998/359 is not listed on IDEAS
  8. repec:cep:stiecm:/2005/486 is not listed on IDEAS
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