Trend, Unit Root and Structural Change in Macroeconomic Time Series

Pierre Perron

Chapter 4 in Cointegration, 1994, pp 113-146 from Palgrave Macmillan

Abstract: Abstract The unit root hypothesis has attracted a considerable amount of work in both the economics and statistics literature. Indeed, the view that most economic time series are characterized by a stochastic rather than deterministic nonstationarity has become prevalent. The seminal study of Nelson and Plosser (1982) which found that most macroeconomic variables have a univariate time series structure with a unit root has catalysed a burgeoning research program with both empirical and theoretical dimensions.

Keywords: Akaike Information Criterion; Unit Root; Break Point; Unit Root Test; Break Date (search for similar items in EconPapers)
Date: 1994
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DOI: 10.1007/978-1-349-23529-2_4

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