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The order of integration for quarterly macroeconomic time series: A simple testing strategy

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  • Artur C. B. da Silva Lopes

Abstract

An empirical example and a simulation study show that much more attention should be devoted to the practical issue of selecting the maximum admissible order of integration for quarterly macroeconomic time series. In fact, it is shown that when that order is too high, one may get (spurious) evidence for an excessive number of unit roots, resulting in an overdifferenced series. Besides introducing a simple and intuitive definition for the order of integration of quarterly time series, this paper also presents a simple testing strategy to determine that order for the case of macroeconomic data. Copyright Springer-Verlag 2003

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  • Artur C. B. da Silva Lopes, 2003. "The order of integration for quarterly macroeconomic time series: A simple testing strategy," Empirical Economics, Springer, vol. 28(4), pages 783-794, November.
    • Handle: RePEc:spr:empeco:v:28:y:2003:i:4:p:783-794
    DOI: 10.1007/s00181-003-0160-x
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    Cited by:

    1. Artur Silva Lopes, 2006. "Deterministic seasonality in Dickey–Fuller tests: should we care?," Empirical Economics, Springer, vol. 31(1), pages 165-182, March.
    2. Maria Blangiewicz & Krystyna Strzala, 2008. "Notes on a Forecasting Procedure," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 8, pages 75-84.
    3. Dillon Alleyne, 2006. "Can Seasonal Unit Root Testing Improve the Forecasting Accuracy of Tourist Arrivals?," Tourism Economics, , vol. 12(1), pages 45-64, March.

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