Springer Nature is making SARS-CoV-2 and COVID-19 research free. View research | View latest news | Sign up for updates

The nature of Austrian macroeconomic time series unit root tests

  • 21 Accesses

Zusammenfassung

Im ökonomischen und ökonometrischen Modellbau stellt sich noch immer die Frage nach den langfristigen Eigenschaften einer Zeitreihe. Wird die beobachtete Nichtstationarität besser durch eine Trendbereinigung oder durch Differenzieren erfaßt? Wir untersuchen dreizehn österreichische makroökonomische Zeitreihen auf Trend-versus Differenzenstationarität, wobei informelle Methoden und formelle Tests von Dickey-Fuller und Phillips-Perron verwendet werden. Um Auswirkungen der Saisonbereinigung auf die Tests zu vermeiden, wenden wir ein drittes, kürzlich von Hylleberg-Engle-Granger-Yoo entwickeltes Verfahren auf die unbereinigten Daten an. Unabhängig von der Saisonbereinigung weisen die empirischen Resultate darauf hin, daß die untersuchten Zeitreihen integriert erster Ordnung sind.

Abstract

It is still an open question in economic and econometric modelling whether the non-stationarity in a time series is captured by detrending or by differencing. We test thirrteen Austrian macroenconomic time series for difference versus trend stationarity using informal methods and formal procedures developed by Dickey-Fuller and Phillips-Perron. To eliminate the effects of seasonal adjustment on the tests we apply a third procedure to the unadjusted data, recently developed by Hylleberg-Engle-Granger-Yoo. Independent of the seasonal adjustment the empirical results indicate that these series are integrated of order 1.

This is a preview of subscription content, log in to check access.

References

  1. Box, G. E. P., Jenkins, G. M., Time Series Analysis, Forecasting and Control, Holden Day, San Francisco, 1970.

  2. Dickey, D. A., Fuller, W. A., “Distribution of the Estimators for Autoregressive Time Series With a Unit Root”, Journal of the American Statistical Association, 1979, 74, pp. 427–431.

  3. Dickey, D. A., Fuller, W. A., “Likelihood Ratio Statistics for Autoregressive Time Series With a Unit Root”, Econometrica, 1981, 49, pp. 1057–1072.

  4. Dickey, D. A., Said, S. E., “Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order”, Biometrika, 1984, 71, pp. 599–607.

  5. Fuller, W. A., Introduction to Statistical Time Series, John Wiley & Sons, New York, 1976.

  6. Ghysels, E., Unit Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U. S. Post-War Real GNP, Université de Montréal, 1989 (mimeo).

  7. Hylleberg, S., Engle, R. F., Granger, C. W. J., Yoo, B. S., “Seasonal Integration and Cointegration”, Journal of Econometrics, 1990, 44, pp. 215–238.

  8. Nelson, C. R., Kang, H., “Spurious Periodicity in Inappropriately Detrended Time Series”, Econometrica, 1981, 49, pp. 741–751.

  9. Nelson, C. R., Plosser, C. I., “Trends and Random Walks in Macroeconomic Time Series”, Journal of Monetary Economics, 1982, 10, pp. 139–162.

  10. Perron, P., “Trends and Random Walks in Macroeconomic Time Series, Further Evidence from a New Approach”, Journal of Economic Dynamics and Control, 1988, 12, pp. 297–332.

  11. Perron, P., “Test Consistency with Varying Sampling Frequence”, Princeton University Research Memorandum, 1989, (345).

  12. Phillips, P. C. B., Perron, P., “Testing for a Unit Root in Time Series Regression”, Biometrika, 1988, 75, pp. 335–346.

  13. Raj, B., Siklos, P. L., “The adequacy of Simple Filters and Transformations. A Brief Survey and some Practical Suggestions”, Belgian Journal of Operations Research, Statistics and Computer Science, 1989, 29(2), pp. 41–73.

  14. Schwert, G. W., “Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data”, Journal of Monetary Economics, 1987, 20, pp. 73–103.

  15. Schwert, G. W., “Tests for Unit Roots: A Monte Carlo Investigation”, Journal of Business & Economic Statistics, 1989, 7, pp. 147–159.

  16. Stock, J. H., Watson, M., “Variable Trends in Macroeconomic Time Series”, Journal of Economic Perspectives, 1988, 3, pp. 147–174.

Download references

Author information

Correspondence to Thomas Url or Gert Wehinger.

Additional information

We gratefully acknowledge the helpful suggestions and comments from Albert Jäger, Robert Kunst, Baldev Raj, and three anonymous referees.

Rights and permissions

Reprints and Permissions

About this article

Cite this article

Url, T., Wehinger, G. The nature of Austrian macroeconomic time series unit root tests. Empirica 17, 131–154 (1990). https://doi.org/10.1007/BF00925374

Download citation

Keywords

  • Time Series
  • Unit Root
  • Unit Root Test
  • Informal Method
  • Seasonal Adjustment