Detail Trends and Random Walks in Macroeconomic Time Series : A Re-Examination   Oleh:  Rudebusch, Glenn D. Jenis: Article from Bulletin/Magazine Dalam koleksi: INTERNATIONAL ECONOMIC REVIEW vol. 33 no. 3 (1992), page 661-680. Topik: EXAMINATIONS; trends; random walks; macroeconomic time series Ketersediaan Perpustakaan Pusat (Semanggi) Nomor Panggil: II49.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada     Lihat Detail Induk Isi artikel In their 1982 article, Nelson and Plosser provided evidence supporting the existence of an autoregressive unit root in a variety of macroeconomic time series. I re - examine their evidence using small - sample distributions for various unit root test statistics. These distributions are calculated from specific null and alternative models (including median - unbiased models that correct for OLS coefficient bias) estimated from the data. Contrary to earlier assertions, the null and alternative models of many macroeconomic series provide very different characterizations of persistence but cannot be distinguished with unit root tests. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Kembali

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