NDLI: Unit and Fractional Roots at the Long Run and the Seasonal Frequencies in Macroeconomic Time Series

Content Provider	Springer Nature Link
Author	Gil Alana, Luis A.
Copyright Year	2005
Abstract	In this article, we show that macroeconomic time series may contain unit and fractional roots at both, at zero and at zero and at the seasonal frequencies. The importance of the root at the long run or zero frequency requires in many cases to consider this root at both, separately in an independent polynomial, and also included in the seasonal one. Several Monte Carlo experiments are conducted to examine cases when the root at the zero frequency is not appropriately considered. An empirical application based on the tests of Robinson, Peter M. “Efficient Tests of Nonstationary Hypotheses,” Journal of the American Statistical Association, 89, 1994, pp. 1420–37 is also carried out at the end of the article.
Starting Page	257
Ending Page	266
Page Count	10
File Format	PDF
ISSN	10830898
Journal	International Advances in Economic Research
Volume Number	11
Issue Number	3
e-ISSN	1573966X
Language	English
Publisher	Kluwer Academic Publishers
Publisher Date	2005-08-18
Publisher Place	Dordrecht
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Statistical Simulation Methods: General Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes Economic Growth International Economics Macroeconomics/Monetary Economics Microeconomics
Content Type	Text
Resource Type	Article
Subject	Economics and Econometrics

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Unit and Fractional Roots at the Long Run and the Seasonal Frequencies in Macroeconomic Time Series