Arbeitspapier
Testing stochastic cycles in macroeconomic time series
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.
- Language
-
Englisch
- Bibliographic citation
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Series: SFB 373 Discussion Paper ; No. 2000,70
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Subject
-
stochastic cycles
fractional roots
unit root cycles
- Event
-
Geistige Schöpfung
- (who)
-
Gil-Alaña, Luis A.
- Event
-
Veröffentlichung
- (who)
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Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (where)
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Berlin
- (when)
-
2000
- Handle
- URN
-
urn:nbn:de:kobv:11-10047968
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Gil-Alaña, Luis A.
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Time of origin
- 2000
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Measuring stylized business cycles facts using stochastic cycles
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Clustering Macroeconomic Time Series
Testing Stochastic Cycles in Macroeconomic Time Series
Testing of Fractional Cointegration in Macroeconomic Time Series
Testing of fractional cointegration in macroeconomic time series
Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series
Electoral Cycles in Macroeconomic Forecasts
Electoral cycles in macroeconomic forecasts
Testing for a single-factor stochastic volatility in bivariate series
Measuring stylized business cycles facts using stochastic cycles
Stochastic dynamics of economic cycles
Testing European Business cycles asymmetry
Testing for stochastic monotonicity