Unit roots in macroeconomic time series: theory, implications, and evidence

Nova Economia

Gilberto A. Libanio¹ 

[1] ,Federal University of Minas Gerais,Brazil

关键词: time-series models;    unit roots;    business fluctuations;    modelos de séries temporais;    raízes unitárias;    flutuações econômicas;   

DOI  :  10.1590/S0103-63512005000300006

来源: SciELO

【 摘 要 】

The theme of unit roots in macroeconomic time series has received a great amount of theoretical and applied research in the last two decades. This paper presents some of the main issues regarding unit root tests, explores some of the implications for macroeconomic theory and policy, and reviews the recent evidence on the presence of unit roots in GDP series for Latin American countries. We conclude that a consensual view on many of the aspects involved has not emerged from this literature.

【 授权许可】

CC BY   
 All the contents of this journal, except where otherwise noted, is licensed under a Creative Commons Attribution License