Testing stochastic cycles in macroeconomic time series

被引：62

作者：

Gil-Alana, LA ^{[1
]}

机构：

[1] Humboldt Univ, D-1086 Berlin, Germany

[2] Univ Navarra, Pamplona, Spain

来源：

JOURNAL OF TIME SERIES ANALYSIS | 2001年 / 22卷 / 04期

关键词：

stochastic cycles; fractional roots; unit root cycles;

D O I：

10.1111/1467-9892.00233

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

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 US annual data is also carried out at the end of the article.

引用

页码：411 / 430

页数：20

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