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2005-09-29Buch DOI: 10.18452/3391
Testing Stochastic Cycles in Macroeconomic Time Series
dc.contributor.authorGil-Alaña, Luis A.
dc.date.accessioned2017-06-15T20:50:29Z
dc.date.available2017-06-15T20:50:29Z
dc.date.created2005-09-29
dc.date.issued2005-09-29
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4043
dc.description.abstractA 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectstochastic cycleseng
dc.subjectfractional rootseng
dc.subjectunit root cycleseng
dc.subject.ddc330 Wirtschaft
dc.titleTesting Stochastic Cycles in Macroeconomic Time Series
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10047968
dc.identifier.doihttp://dx.doi.org/10.18452/3391
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages26
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2000
local.edoc.container-issue70
local.edoc.container-year2000
local.edoc.container-erstkatid2135319-0

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