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Trend, Unit Root and Structural Change in Macroeconomic Time Series

In: Cointegration

Author

Listed:
  • Pierre Perron

Abstract

The unit root hypothesis has attracted a considerable amount of work in both the economics and statistics literature. Indeed, the view that most economic time series are characterized by a stochastic rather than deterministic nonstationarity has become prevalent. The seminal study of Nelson and Plosser (1982) which found that most macroeconomic variables have a univariate time series structure with a unit root has catalysed a burgeoning research program with both empirical and theoretical dimensions.

Suggested Citation

  • Pierre Perron, 1994. "Trend, Unit Root and Structural Change in Macroeconomic Time Series," Palgrave Macmillan Books, in: B. Bhaskara Rao (ed.), Cointegration, chapter 4, pages 113-146, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-349-23529-2_4
    DOI: 10.1007/978-1-349-23529-2_4
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