Trends and Random Walks in Macroeconomic Time Series: Further Evidence From a New Approach

Pierre Perron

Cahiers de recherche from Universite de Montreal, Departement de sciences economiques

Abstract: This Paper Presents a Summary of Recent Work on a New Methodology to Test for the Presence of a Unit Root in Univariate Time Series Models. the Stochastic Framework Is Quite General. While the Dickey-Fuller Approach Accounts for the Autocorrelation of the First-Differences of a Serie in a Paremetric Fashion by Estimating Additional Nuisance Parameters, This New Approach Deals with This Phenomenon in a Nonparametric Way. We Apply These New Tests to Reassess Recent Findings on the Behavior of Common Macroeconomic Time Series, Including the Various Series Studies by Nelson and Plosser (1982).

Keywords: Research Methods; Linear Models; Trends; Time Series (search for similar items in EconPapers)
Pages: 49P. pages
Date: 1986
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Citations: View citations in EconPapers (5)

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Journal Article: Trends and random walks in macroeconomic time series: Further evidence from a new approach (1988)
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Persistent link: https://EconPapers.repec.org/RePEc:mtl:montde:8650

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