Testing the order of integration with low power tests. An application to argentine macro-variables

Detalles Bibliográficos
Publicado en: Journal of Applied Economics. Vol. 6 No. 2 (2003),221-246 6. Buenos Aires : Universidad del Centro de Estudios Macroeconómicos de Argentina, 2003
Autor Principal: Carrera, Jorge Eduardo
Otros autores o Colaboradores: Féliz, Mariano, Panígo, Demian
Formato: Artículo
Temas:
Unit root
Persistence
Cycles
Structural breaks
Argentine
Macroeconomic variables
Economía
Macroeconomía
Argentina
Acceso en línea:https://www.memoria.fahce.unlp.edu.ar/art_revistas/pr.8409/pr.8409.pdf
http://sedici.unlp.edu.ar/handle/10915/90999
Resumen:The low power of available econometric tests is an important problem in applied research on unit roots and related issues. Based on the principle of methodological triangulation, the problem should be analyzed from different points of view in order to increase the validity of the results. Following this approach a strategy to test the order of integration in time series is presented using a sequence of eleven consolidated tests. In this way it is possible to determine the persistence of shocks, to specify the best strategy for trend-cycle decomposition and to obtain additional information useful for public policies. As an application of the methodology, the integration properties in the main 14 Argentine macroeconomic variables are studied. A classification of them in four homogenous groups according to their order of integration is obtained
Descripción Física:p.221-246
ISSN:ISSN 1514-0326

MARC

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245 1 0 |a Testing the order of integration with low power tests. An application to argentine macro-variables 
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520 3 |a The low power of available econometric tests is an important problem in applied research on unit roots and related issues. Based on the principle of methodological triangulation, the problem should be analyzed from different points of view in order to increase the validity of the results. Following this approach a strategy to test the order of integration in time series is presented using a sequence of eleven consolidated tests. In this way it is possible to determine the persistence of shocks, to specify the best strategy for trend-cycle decomposition and to obtain additional information useful for public policies. As an application of the methodology, the integration properties in the main 14 Argentine macroeconomic variables are studied. A classification of them in four homogenous groups according to their order of integration is obtained 
653 |a Unit root 
653 |a Persistence 
653 |a Cycles 
653 |a Structural breaks 
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653 |a Macroeconomic variables 
650 0 4 |a Economía 
650 0 4 |a Macroeconomía 
650 0 4 |a Argentina 
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542 1 |f Esta obra está bajo una licencia Creative Commons Atribución-NoComercial-SinDerivadas 4.0 Internacional  |u https://creativecommons.org/licenses/by-nc-nd/4.0/ 

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