Trends and random walks in macroeconomic time series

DOI10.1016/0165-1889(88)90043-7zbMath0659.62128WikidataQ115188646 ScholiaQ115188646MaRDI QIDQ1112530

Pierre Perron

Publication date: 1988

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(88)90043-7

zbMATH Keywords

macroeconomic time series; presence of a unit root; univariate time series models

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B84: Economic time series analysis

Related Items

Hysteresis and cyclical variability in real wages, output and unemployment: empirical evidence from nonlinear methods for the United States, Alternative stratetgies for ‘augmenting’ the dickey-fuller test: size-robustness in the face of pre-testing, Statistical Adequacy and the Testing of Trend Versus Difference Stationarity, Ratio tests of a unit root, A joint test of fractional integration and structural breaks at a known period of time, Cointegration and direct tests of the rational expectations hypothesis, A bayesian analysis of trend determination in economic time series, Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?, Persistence, cointegration, and aggregation. A disaggregated analysis of output fluctuations in the U.S. economy, A data-based regional scale autoregressive rainfall-runoff model: a study from the Odra river, A Bayesian analysis of the unit root in real exchange rates, A note on the stationarity of the primary commodities relative price index, Unit root testing, Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function, Testing for unit roots using the augmented Dickey-Fuller test. Some issues relating to the size, power and the lag structure of the test, The effect of seasonal adjustment filters on tests for a unit root (with discussion), Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection, Some analysis of the long-run time series properties of consumption and income in the U.K, A simple multiple variance ratio test, Evaluating predictive performance of judgemental extrapolations from simulated currency series, The sample autocorrelation function of \(I(1)\) processes, Is there a unit root in U.S. real GNP?, Near-integration and deterministic trends, Testing of unit root and other nonstationary hypotheses in macroeconomic time series, Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate, Adjusted estimates and Wald statistics for the AR(1) model with constant, Mirror image distributions and the Dickey-Fuller regression with a maintained trend, A strategy for testing the unit root in AR(1) model with intercept: a Monte Carlo experiment, JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS

Cites Work

• Unnamed Item
• Unnamed Item
• Testing the random walk hypothesis: power versus frequency of observation
• Testing the autoregressive parameter with the t statistic
• A functional central limit theorem for weakly dependent sequences of random variables
• A functional central limit theorem for \(\rho\) -mixing sequences
• The calculation of the limiting distribution of the least squares estimator of the parameter in a random walk model
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• The Order of Differencing in ARIMA Models
• Nonlinear Regression with Dependent Observations
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for Unit Roots: 2
• Multiple Time Series Regression with Integrated Processes
• Towards a unified asymptotic theory for autoregression
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Conditions for linear processes to be strong-mixing
• Testing For Unit Roots: 1
• The Present-Value Relation: Tests Based on Implied Variance Bounds
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Regression Theory for Near-Integrated Time Series
• Time Series Regression with a Unit Root
• Corrigenda: Properties of Predictors for Autoregressive Time Series
• Invariance principles for dependent variables