Non-stationarity Tests in Macroeconomic Time Series

Olivier Darné and Claude Diebolt (cdiebolt@cliometrie.org)
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Claude Diebolt: BETA - Bureau d'Économie Théorique et Appliquée - INRA - Institut National de la Recherche Agronomique - UNISTRA - Université de Strasbourg - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique

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Abstract: This paper presents a selective survey of the literature on non-stationarity tests, namely standard and efficient unit root tests and stationarity tests, with or without structural changes. We also present the direct relation between non-stationarity tests and four economic theories, such as business cycles, hysteresis, purchasing power parity and convergence.

Keywords: Unit root tests; Stationarity tests; Breaks; Convergence; Business cycles; Hysteresis; Purchasing power parity (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (5)

Published in Claude Diebolt; Catherine Kyrtsou. New Trends in Macroeconomics, Springer Verlag, pp.173-194, 2005, 978-3-540-28556-4. ⟨10.1007/3-540-28556-3_9⟩

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Chapter: Non-stationarity Tests in Macroeconomic Time Series (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00279447

DOI: 10.1007/3-540-28556-3_9

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