Univariate Properties of The Korean Economic Time Series
In Choi ()
Korean Economic Review, 1993, vol. 9, 201-232
This paper studies univariate properties of the Korean economic time series. The null hypothesis of a unit root is tested for each series by using the augmented Dickey-Fuller, Phillips-Perron and Durbin-Hausman tests. It is found that the null of a unit root cannot be rejected for most of the series. The confidence interval for the sum of AR coefficients is also calculated for each series. Most of the computed confidence intervals include 1, which coincides with the unit root test results. Some implications of the presence of a unit root for forecasting and structural regressions are discussed.
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Persistent link: https://EconPapers.repec.org/RePEc:kea:keappr:ker-199312-9-1-11
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