Testing stochastic cycles in macroeconomic time series

Luis Gil-Alana

No 2000,70, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: A particular version of the tests of Robinson (1994) for testing stochastic cycles in macroeconomic time series is proposed in this article. The tests have a standard limit distribution and are easy to implement in raw time series. A Monte Carlo experiment is conducted, studying the size and the power of the tests against different alternatives, and the results are compared with those based on other tests. An empirical application using historical U.S. annual data is also carried out at the end of the article.

Keywords: stochastic cycles; fractional roots; unit root cycles (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Testing Stochastic Cycles in Macroeconomic Time Series (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:200070

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