Empirica

, Volume 17, Issue 2, pp 131–154 | Cite as

The nature of Austrian macroeconomic time series unit root tests

  • Thomas Url
  • Gert Wehinger
Article
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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.

Keywords

Time Series Unit Root Unit Root Test Informal Method Seasonal Adjustment 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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.

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Copyright information

© Gustav Fischer 1990

Authors and Affiliations

  • Thomas Url
    • 1
  • Gert Wehinger
    • 2
  1. 1.Institut für Höhere StudienWien
  2. 2.Institut für Volkswirtschaftslehre und-politik Wirtschaftsuniversität WienWien

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