Complex Unit Roots and Business Cycles: Are They Real?

Herman Bierens ()

No 197, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

Abstract: In this paper the asymptotic properties of ARMA processes with complex- conjugate unit roots in the AR lag polynomial are studied. These processes behave quite differently from processes with a single root equal to 1. In particular, the asymptotic properties of a standardized version of the periodogram for such processes are analyzed, and a nonparametric test of the complex unit root hypothesis against the stationarity hypothesis is derived. This test is applied to the annual change of the monthly number of unemployed in the US, in order to see whether this time series has complex unit roots in the business cycle frequencies.

Date: 2000-08-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://fmwww.bc.edu/RePEc/es2000/0197.pdf main text (application/pdf)

Related works:
Journal Article: COMPLEX UNIT ROOTS AND BUSINESS CYCLES: ARE THEY REAL? (2001)
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:ecm:wc2000:0197

Access Statistics for this paper

More papers in Econometric Society World Congress 2000 Contributed Papers from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().