TESTING FOR DETERMINISTIC AND STOCHASTIC CYCLES IN MACROECONOMIC TIME SERIES

Guglielmo Maria Caporale () and Luis Alberiko Gil-Alana ()

Economics and Finance Discussion Papers from Economics and Finance Section, School of Social Sciences, Brunel University

Abstract: In this paper we use a statistical procedure which is appropriate to test for deterministic and stochastic (stationary and nonstationary) cycles in macroeconomic time series. These tests have standard null and local limit distributions and are easy to apply to raw time series. Monte Carlo evidence shows that they perform relatively well in the case of functional misspecification in the cyclical structure of the series. As an example, we use this approach to test for the presence of cycles in US real GDP.

New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
Date: 2005-06
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Related works:
Journal Article: Testing for deterministic and stochastic cycles in macroeconomic time series (2007)
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Persistent link: http://EconPapers.repec.org/RePEc:bru:bruedp:05-11

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