The order of integration for quarterly macroeconomic time series: A simple testing strategy

Artur Silva Lopes ()

Empirical Economics, 2003, vol. 28, issue 4, 783-794

Abstract: An empirical example and a simulation study show that much more attention should be devoted to the practical issue of selecting the maximum admissible order of integration for quarterly macroeconomic time series. In fact, it is shown that when that order is too high, one may get (spurious) evidence for an excessive number of unit roots, resulting in an overdifferenced series. Besides introducing a simple and intuitive definition for the order of integration of quarterly time series, this paper also presents a simple testing strategy to determine that order for the case of macroeconomic data. Copyright Springer-Verlag 2003

Keywords: Unit roots; seasonality; DF tests; HEGY tests (search for similar items in EconPapers)
Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00181-003-0160-x (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: The Order of Integration for Quarterly Macroeconomic Time series: a Simple Testing Strategy (2002)
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:spr:empeco:v:28:y:2003:i:4:p:783-794

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-003-0160-x

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().