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Trends and random walks in macroeconomic time series. (English) Zbl 0659.62128

This paper presents a summary of recent work on a new methodology to test for the presence of a unit root in univariate time series models. The stochastic framework is quite general. While the Dickey-Fuller approach accounts for the autocorrelation of the first-differences of a series in a parametric fashion by estimating additional nuisance parameters, this new approach deals with this phenomenon in a nonparametric way. We apply these new tests to reassess recent findings on the behavior of common macroeconomic time series, including the various series studied by C. Nelson and C. Plosser [J. Monetary Econ. 10, 139-162 (1982)].

MSC:

62P20 Applications of statistics to economics
91B84 Economic time series analysis
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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