Testing stochastic cycles in macroeconomic time series (Q2744933)
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scientific article; zbMATH DE number 1653766
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| English | Testing stochastic cycles in macroeconomic time series |
scientific article; zbMATH DE number 1653766 |
Statements
9 October 2001
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unit root cycles
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fractional autoregression
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strong dependence
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Robinson test
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0.90044653
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0.8999408
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0.87977135
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0.87788093
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0.87703854
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0.86200714
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Testing stochastic cycles in macroeconomic time series (English)
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The author considers an economic time series \(x_t\) described by the model NEWLINE\[NEWLINE(1-2\mu L +L^2)^{1+\vartheta} x_t=u_t,NEWLINE\]NEWLINE where \(L\) is the shift operator, \(u_t\) is a covariance stationary process with bounded and bounded away from zero spectral density. The hypothesis \(\vartheta=0\) is tested using the Robinson test. Results of a Monte-Carlo study are presented. The test is applied to 14 US macroeconomic variables (consumer price index, unemployment rate, wages, etc.).
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