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Testing the Order of Integration with Low Power Tests. An Application to Argentine Macro-variables

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Abstract

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. :

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  • Jorge Eduardo Carrera & Mariano Feliz & Demian Panigo, 2003. "Testing the Order of Integration with Low Power Tests. An Application to Argentine Macro-variables," Journal of Applied Economics, Universidad del CEMA, vol. 6, pages 221-246, November.
    • Handle: RePEc:cem:jaecon:v:6:y:2003:n:2:p:221-246
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    Cited by:

    1. Panigo, Demian & Féliz, Mariano & Perez, Pablo, 2004. "Macro and microeconomic persistence in regional unemployment. The case of Argentina," CEPREMAP Working Papers (Couverture Orange) 0403, CEPREMAP.

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    More about this item

    Keywords

    unit root; persistence; cycles; structural breaks; Argentine macroeconomic variables :;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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