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Contrastes de raíces unitarias, para series mensuales. Una aplicación al IPC

María Matea Rosa ()

No 9214, Working Papers from Banco de España, Working Papers Homepage

Abstract: This working paper details unit root tests for monthly series, with the possibility of the stationary part having been generated by an ARMA process. The paper is complemented by an application to the four basic stochastic components of the consumer price index. Test evidences that the long-run behaviour of these variables is very different

Keywords: Seasonal unit roots; CPI (search for similar items in EconPapers)
JEL-codes: C10 E31 (search for similar items in EconPapers)
Date: 1992
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