Testing stochastic cycles in macroeconomic time series

L. A. Gil-Alana

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. -- stochastic cycles ; fractional roots ; unit root cycles

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Year of publication:	2000
Authors:	Gil-Alaña, Luis A.
Institutions:	Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse (contributor)
Publisher:	Berlin : Humboldt-Universität
Subject:	Zeitreihenanalyse \| Time series analysis \| Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Einheitswurzeltest \| Unit root test \| Schätzung \| Estimation \| Kointegration \| Cointegration