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Testing of unit root and other nonstationary hypotheses in macroeconomic time series

By L A Gil-Alana and Peter Robinson

Abstract

Recently proposed tests for unit root and other nonstationarity of Robinson (1994a) are applied to an extended version of the data set used by Nelson and Plosser (1982). Unusually, the tests are efficient (against appropriate parametric alternatives), the null can be any member of the I(d) class, and the null limit distribution is chi-squared. The conclusions vary substantially across fourteen series, and across different models of the disturbances (which, also unusually, include the Bloomfield spectral model). Overall, the consumer price index and money stock seem the most nonstationary, while industrial production and unemployment rate seem the closest to stationarity

Topics: HB Economic Theory
Publisher: Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science
Year: 1996
OAI identifier: oai:eprints.lse.ac.uk:2050
Provided by: LSE Research Online
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