Testing Stochastic Cycles in Macroeconomic Time Series

L. A. Gil‐Alana
Authors registered in the RePEc Author Service: Luis Alberiko Gil-Alana

Journal of Time Series Analysis, 2001, vol. 22, issue 4, 411-430

Abstract: A particular version of the tests of Robinson (1994) for testing stochastic cycles in macroeconomic time series is proposed in this article. The tests have a standard limit distribution and are easy to implement in raw time series. A Monte Carlo experiment is conducted, studying the size and the power of the tests against different alternatives, and the results are compared with those based on other tests. An empirical application using historical US annual data is also carried out at the end of the article.

Date: 2001
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Citations: View citations in EconPapers (74)

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https://doi.org/10.1111/1467-9892.00233

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Working Paper: Testing stochastic cycles in macroeconomic time series (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:22:y:2001:i:4:p:411-430

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