Abstract
Many macro-variables have a fairly smooth appearance over long time periods. This smoothness can be translated into functions commonly considered by time-series analysts as:
-
(i)
the series have a spectrum with a large peak at low frequencies, called the “typical spectral shape” (or TSS) by Granger (1966),
-
(ii)
the correlogram declines very slowly as lag length increases, and
-
(iii)
the differenced series will have a correlogram that is explainable using a stationary ARMA model.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Aizawa, Y., and T. Kohyama (1984), “Asymptotically non-stationary chaos.” Progress of Theoretic Physics 71, 847–850.
Box, G. E. P., and G. Jenkins (1970), Time Series Analysis, Forecasting and Control. San Francisco: Holden-Day.
Engle, R. F., C. W. J. Granger, J. Rice, and A. Weiss (1986), “Semiparametric estimates of the relation between weather and electricity sales.” Journal of the American Statistical Association 81, 310–320.
Granger, C. W. J. (1966), “The typical spectral shape of an economic variable.” Econometrica 34, 150–161.
Granger, C. W. J. (1984), “Implications of aggregation with common factors.” Discussion paper, Economics Department, UCSD.
Granger, C. W. J. (1985), “Models that generate trends.” Discussion paper 85-5, Economics Department, UCSD.
Granger, C. W. J., F. Huynh, A. Escribano, and C. Mustafa (1984), “Computer investigation of some non-linear time series models.” Working paper, Economics Department, UCSD.
Granger, C. W. J., and R. Joyeux (1980), “An introduction to long-memory time series models and fractional differencing.” Journal of Time Series Analysis 1, 15–29.
Hosking, J. R. M. (1981), “Fractional differencing.” Biometrika 68, 165–176.
Lawrance, A. J., and P. A. W. Lewis (1980), “The exponential autoregressive-moving average EARMA (p, g) process.” Journal of the Royal Statistical Society, Series B 42, 150–161.
Surgailis, D. (1981), “Convergence of sums of non-linear functions of moving averages for self-similar processes.” Soviet Mathematics—Doklady 23, 247–250.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 1987 D. Reidel Publishing Company
About this chapter
Cite this chapter
Granger, C.W.J. (1987). Are Economic Variables Really Integrated of Order One?. In: MacNeill, I.B., Umphrey, G.J., Carter, R.A.L., McLeod, A.I., Ullah, A. (eds) Time Series and Econometric Modelling. The University of Western Ontario Series in Philosophy of Science, vol 36. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-4790-0_15
Download citation
DOI: https://doi.org/10.1007/978-94-009-4790-0_15
Publisher Name: Springer, Dordrecht
Print ISBN: 978-94-010-8624-0
Online ISBN: 978-94-009-4790-0
eBook Packages: Springer Book Archive