Central bank economists have to understand and forecast macroeconomic time series. A serious problem that they face is that those series are often trended or a.ected by persistent innovations to the process. To try to get round this problem, or at least to understand its possible e.ects, it is common to test whether series are stationary. These tests are often called unit-root tests.1 In this handbook we discuss such testing. A model-builder should use appropriate econometric techniques. In order to choose between alternative estimators, the model-builder needs to think carefully about the relevant theory and the available data. But economic theory is rarely unambiguous in its implications for the data generating process. Subjecting the data to pre-estimation testing can help to gauge the relevance of different theories and possible data problems.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Download reference. The following formats are available: HTML,
plain text,
BibTeX,
RIS (EndNote),
ReDIF This book is provided by Centre for Central Banking Studies, Bank of England in its series Handbooks with number
22 and published in 2004.