Nonlinearity in US macroeconomic time series

Gawon Yoon

Applied Economics Letters, 2010, vol. 17, issue 16, 1601-1609

Abstract: In this study, we evaluate the linearity of 170 major monthly US macroeconomic time series spanning the years 1959-2002. Employing the linearity test recently proposed by Harvey et al. (2008), which is applicable when the order of integration is uncertain, we determined that more than half of the macroeconomic time series were nonlinear. In particular, approximately 75% of the time series in nominal prices, wages and money category were determined to be nonlinear, whereas the least abundant evidence, corresponding to approximately 43% of the series, was detected in the category of construction, inventories and order.

Date: 2010
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DOI: 10.1080/13504850903085001

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