Testing the Order of Integration with Low Power Tests. An Application to Argentine Macro-variables

Jorge Carrera, Mariano Feliz and Demian Panigo ()
Additional contact information
Mariano Feliz: Universidad Nacional de la Plata & PIETTE-CONICET, http://www.depeco.econo.unlp.edu.ar/

Journal of Applied Economics, 2003, vol. 6, 221-246

Abstract: The low power of available econometric tests is an important problem in applied research on unit roots and related issues. Based on the principle of methodological triangulation, : the problem should be analyzed from different points of view in order to increase the : validity of the results. Following this approach a strategy to test the order of integration in : time series is presented using a sequence of eleven consolidated tests. In this way it is : possible to determine the persistence of shocks, to specify the best strategy for trend-cycle : decomposition and to obtain additional information useful for public policies. As an : application of the methodology, the integration properties in the main 14 Argentine : macroeconomic variables are studied. A classification of them in four homogenous groups : according to their order of integration is obtained. :

Keywords: unit root; persistence; cycles; structural breaks; Argentine macroeconomic variables : (search for similar items in EconPapers)
JEL-codes: C3 C5 E3 (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://ucema.edu.ar/publicaciones/download/volume6/carrera.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cem:jaecon:v:6:y:2003:n:2:p:221-246

Access Statistics for this article

Journal of Applied Economics is currently edited by Germán Coloma and Mariana Conte Grand and Jorge M. Streb

More articles in Journal of Applied Economics from Universidad del CEMA Contact information at EDIRC.
Bibliographic data for series maintained by Valeria Dowding ().