Trends and random walks in macroeconomic time series: a re-examination
In their 1982 article, C. R. Nelson and C. I. Plosser provided evidence supporting the existence of an autoregressive unit root in a variety of macroeconomic time series. The author reexamines their evidence using small-sample distributions for various unit root test statistics. These distributions are calculated from specific null and alternative models (including median-unbiased models that correct for OLS coefficient bias) estimated from the data. Contrary to earlier assertions, the null and alternative models of many macroeconomic series provide very different characterizations of persistence but cannot be distinguished with unit root tests. Copyright 1992 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
(This abstract was borrowed from another version of this item.)
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1990|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.federalreserve.gov/
More information through EDIRC
|Order Information:|| Email: |
When requesting a correction, please mention this item's handle: RePEc:fip:fedgwe:105. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kris Vajs)
If references are entirely missing, you can add them using this form.