This Phillips-Ouliaris (1988) non-parametric unit root test for non seasonal data and the seasonal one of Joyeux (1992) are based in the estimation of the spectral density function in a fixed frequency. We can get consistent estimations of the spectrum using spectral windows, but such procedure...

Several unit root tests in panel data have recently been proposed. The test developed by Harris and Tzavalis (1999 JoE) performs particularly well when the time dimension is moderate in relation to the cross-section dimension. However, in common with the traditional tests designed for the...

In the present paper we study the effects in econometric inference when ussing seasonal adjusted data obtained by signal extraction filters. In particular we analyze the effects in the integration order in zero frequency of the adjusted series. We center our study in the consequences of the...

This paper analyses the presence of unit roots in some macroeconomic time series of the Spanish economy. Stochastic properties of the time series have been studied focusing on two aspects, both consistent with the possibility that there might be structural changes affecting the time series...

Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing...

This paper analyses the role of shocks in Spanish economic growth over the period 1850-1990. In the existence of a unit root, the trend is stochastic, which implies that the series has a long memory, and shocks have persistent effects. As a result, the series does not return to its former path...

The paper discusses a range of modern time series methods that have become popular in the past 20 years and considers their usefulness for cliometrics research both in theory and via a range of applications. Issues such as, spurious regression, unit roots, cointegration, persistence, causality,...

Some unit root testing situations are more difficult than others. In the case of quarterly industrial production there is not only the seasonal variation that needs to be considered but also the occasionally breaking linear trend. In the current paper we take this as our starting point to...

Empirical studies have shown little evidence to support the presence of all unit roots present in the filter in quarterly seasonal time series. This paper analyses the performance of the Hylleberg, Engle, Granger and Yoo (1990) (HEGY) procedure when the roots under the null are not all present....

The lack of suitable critical values for the Dickey-Fuller integrability test in finite-samples can drive researchers to spurious conclusions when using asymptotic critical values. In this paper we estimate response surfaces for the Dickey-Fuller unit root test with structural breaks that allow...