Testing the order of integration with low power tests : An application to argentine macro-variables

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The low power of available econometric tests is an important problem in applied research on unit roots and related issues. Based on the principle of methodological triangulation, the problem should be analyzed from different points of view in order to increase the validity of the results. Following...

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Autores principales: Carrera, Jorge Eduardo, Féliz, Mariano, Panigo, Demian Tupac
Formato: Articulo
Lenguaje:Inglés
Publicado: 2003
Materias:
Ciencias Sociales
Ciencias Económicas
Unit root
Persistence
Cycles
Structural breaks
Argentine
Macroeconomic variables
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/90999
http://www.memoria.fahce.unlp.edu.ar/library?a=d&c=arti&d=Jpr8409
https://www.tandfonline.com/doi/abs/10.1080/15140326.2003.12040592
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-90999
record_format dspace
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ciencias Sociales
Ciencias Económicas
Unit root
Persistence
Cycles
Structural breaks
Argentine
Macroeconomic variables
spellingShingle Ciencias Sociales
Ciencias Económicas
Unit root
Persistence
Cycles
Structural breaks
Argentine
Macroeconomic variables
Carrera, Jorge Eduardo
Féliz, Mariano
Panigo, Demian Tupac
Testing the order of integration with low power tests : An application to argentine macro-variables
topic_facet Ciencias Sociales
Ciencias Económicas
Unit root
Persistence
Cycles
Structural breaks
Argentine
Macroeconomic variables
description The low power of available econometric tests is an important problem in applied research on unit roots and related issues. Based on the principle of methodological triangulation, the problem should be analyzed from different points of view in order to increase the validity of the results. Following this approach a strategy to test the order of integration in time series is presented using a sequence of eleven consolidated tests. In this way it is possible to determine the persistence of shocks, to specify the best strategy for trend-cycle decomposition and to obtain additional information useful for public policies. As an application of the methodology, the integration properties in the main 14 Argentine macroeconomic variables are studied. A classification of them in four homogenous groups according to their order of integration is obtained.
format Articulo
Articulo
author Carrera, Jorge Eduardo
Féliz, Mariano
Panigo, Demian Tupac
author_facet Carrera, Jorge Eduardo
Féliz, Mariano
Panigo, Demian Tupac
author_sort Carrera, Jorge Eduardo
title Testing the order of integration with low power tests : An application to argentine macro-variables
title_short Testing the order of integration with low power tests : An application to argentine macro-variables
title_full Testing the order of integration with low power tests : An application to argentine macro-variables
title_fullStr Testing the order of integration with low power tests : An application to argentine macro-variables
title_full_unstemmed Testing the order of integration with low power tests : An application to argentine macro-variables
title_sort testing the order of integration with low power tests : an application to argentine macro-variables
publishDate 2003
url http://sedici.unlp.edu.ar/handle/10915/90999
http://www.memoria.fahce.unlp.edu.ar/library?a=d&c=arti&d=Jpr8409
https://www.tandfonline.com/doi/abs/10.1080/15140326.2003.12040592
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bdutipo_str Repositorios
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