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Tendencias y cambios estructurales en la economia espanola. O hasta que punto es debil la presencia de raices unitarias

Author

Listed:
  • Josep Lluis Carrion Silvestre
  • Andreu Sanso
  • Manuel Artis Ortuno

    (Universitat de Barcelona)

Abstract

This paper analyses the presence of unit roots in some macroeconomic time series of the Spanish economy. Stochastic properties of the time series have been studied focusing on two aspects, both consistent with the possibility that there might be structural changes affecting the time series deterministic component. On the one hand, we carry out an integrability analysis through those tests statistics that allow to consider non-linear deterministic components. On the other hand, we have also applied stationarity tests with structural breaks. The combination of the results that are drawn by these two methodologies will let us to ensure how robust is the presence of unit roots in the selected macroeconomic time series. Finally, the use of the historical time series of Prados (1993) and the shorter Spanish macroeconomic time series that are employed in empirical research will show us the sensibility degree of our analysis to the time period.

Suggested Citation

  • Josep Lluis Carrion Silvestre & Andreu Sanso & Manuel Artis Ortuno, 1998. "Tendencias y cambios estructurales en la economia espanola. O hasta que punto es debil la presencia de raices unitarias," Working Papers in Economics 38, Universitat de Barcelona. Espai de Recerca en Economia.
    • Handle: RePEc:bar:bedcje:199838
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    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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