Unit Roots in U.S. Macroeconomic Time Series: A Survey of Classical and Bayesian Perspectives

  • David N. Dejong
  • Charles H. Whiteman
Conference paper
Part of the The IMA Volumes in Mathematics and its Applications book series (IMA, volume 46)

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.

Keywords

Covariance Income Autocorrelation Volatility OECD 

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Copyright information

© Springer-Verlag New York, Inc. 1993

Authors and Affiliations

  • David N. Dejong
    • 1
  • Charles H. Whiteman
    • 2
  1. 1.Department of EconomicsThe University of PittsburghPittsburghUSA
  2. 2.Department of EconomicsThe University of IowaIowa CityUSA

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