Unit Root Testing in a Central Bank
Lavan Mahadeva and Paul Robinson
Authors registered in the RePEc Author Service: Lavan Mahadeva
in Handbooks from Centre for Central Banking Studies, Bank of England
Central bank economists have to understand and forecast macroeconomic time series. A serious problem that they face is that those series are often trended or a.ected by persistent innovations to the process. To try to get round this problem, or at least to understand its possible e.ects, it is common to test whether series are stationary. These tests are often called unit-root tests.1 In this handbook we discuss such testing. A model-builder should use appropriate econometric techniques. In order to choose between alternative estimators, the model-builder needs to think carefully about the relevant theory and the available data. But economic theory is rarely unambiguous in its implications for the data generating process. Subjecting the data to pre-estimation testing can help to gauge the relevance of different theories and possible data problems.
Keywords: Unit; Root; Testing; Central Bank (search for similar items in EconPapers)
JEL-codes: C22 C51 (search for similar items in EconPapers)
ISBN: 1 85730 138 2
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ccb:hbooks:22
Access Statistics for this book
More books in Handbooks from Centre for Central Banking Studies, Bank of England Contact information at EDIRC.
Bibliographic data for series maintained by Maria Brady ().