Abstract
The issue of whether macroeconomic time series such as GNP follow autoregressive (AR) — moving average (MA) processes which are integrated has several theoretical and statistical implications which have led to the development and widespread application of “unit root” tests. This paper provides a summary of the implications of unit roots in these data, and surveys the procedures and results of Classical and Bayesian investigations of this issue, emphasizing our own research in the area.
Support from the National Science Foundation under grants SES 90-05180 (to The University of Pittsburgh) and SES 89–22419 (to The University of Iowa) is gratefully acknowledged.
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© 1993 Springer-Verlag New York, Inc.
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Dejong, D.N., Whiteman, C.H. (1993). Unit Roots in U.S. Macroeconomic Time Series: A Survey of Classical and Bayesian Perspectives. In: Brillinger, D., Caines, P., Geweke, J., Parzen, E., Rosenblatt, M., Taqqu, M.S. (eds) New Directions in Time Series Analysis. The IMA Volumes in Mathematics and its Applications, vol 46. Springer, New York, NY. https://doi.org/10.1007/978-1-4613-9296-5_4
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DOI: https://doi.org/10.1007/978-1-4613-9296-5_4
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4613-9298-9
Online ISBN: 978-1-4613-9296-5
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