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Unit Root Investigation of Greek Real Money Supply and GDP

  • Christos Karpetis
  • Erotokritos Varelas

    ()

  • Spyros Zikos

In this article, the time series of Greek real GDP and real money supply are investigated for the presence of a unit root, allowing for maximum two breaks which take place at an unknown point in time. This methodology is preferred to conventional Dickey & Fuller tests because the covered time horizon, namely from 1858 to 1938, is characterized by a number of very important events, the nature of which is either economic or historical. In addition, time series stationarity is checked through a Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) test. Copyright IAES 2006

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File URL: http://hdl.handle.net/10.1007/s11294-006-9039-x
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Article provided by International Atlantic Economic Society in its journal International Advances in Economic Research.

Volume (Year): 12 (2006)
Issue (Month): 4 (November)
Pages: 449-460

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Handle: RePEc:kap:iaecre:v:12:y:2006:i:4:p:449-460
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  1. 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.
  2. Sophia, 2003. "Greek Monetary Economics in Retrospect: The Adventures of the Drachma," Working Papers 02, Bank of Greece.
  3. 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.
  4. Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992. "Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 271-87, July.
  5. Perron, Pierre & Vogelsang, Timothy J, 1992. "Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 467-70, October.
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