search query: @author Gil-Alana, L. A. / total: 2
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| Author: | Gil-Alana, L. A. |
| Title: | Testing unit root and other nonstationary hypothesis in macroeconomic time series. |
| Journal: | Journal of Econometrics
1997 : OCT, VOL. 80:2, p. 241-268 |
| Index terms: | MACROECONOMIC MODELS BUSINESS CYCLES UNIT ROOTS TIME SERIES |
| Language: | eng |
| Abstract: | Specialized members of the I(d) class of stochastic processes play a considerable role in modelling macroeconomic behaviour. Unusually, the tests are efficient (against appropriate parametric alternatives), the null can be any member of the I(d) class, and the null limit distribution is chi-squared. The conclusions vary substantially across the 14 series, and across different models for the disturbances (which, also unusually, include the Bloomfield spectral model). Overall, the while industrial production and unemployment rate seem the closest to stationary. |
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