Trend, Unit Root and Structural Change in Macroeconomic Time Series

Abstract

The unit root hypothesis has attracted a considerable amount of work in both the economics and statistics literature. Indeed, the view that most economic time series are characterized by a stochastic rather than deterministic nonstationarity has become prevalent. The seminal study of Nelson and Plosser (1982) which found that most macroeconomic variables have a univariate time series structure with a unit root has catalysed a burgeoning research program with both empirical and theoretical dimensions.

Financial support in acknowledged from the National Science Foundation, the Fonds pour la Formation de Chercheurs de l’Aide à la Recherche du Québec and the Université de Montréal (C.A.F.I.R.).