Unit Roots in U.S. Macroeconomic Time Series: A Survey of Classical and Bayesian Perspectives
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.
KeywordsCovariance Income Autocorrelation Volatility OECD
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