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Se Busca una Raíz Unitaria: Evidencia para Chile Author info | Abstract | Publisher info | Download info | Related research | Statistics Rómulo Chumacero
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This paper presents compelling evidence against the null hypothesis of a unit root in series such IMACEC, consumption or GDP for the Chilean economy. This evidence builds on results derived by Chumacero (2000) that show that when the scale variable is difference stationary, the returns on assets should present a behavior that is not supported by the data. Thus, care should be taken when using econometric models that impose unit roots based on traditional tests.
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Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number
86.
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Date of creation: Dec 2000Date of revision:
Handle: RePEc:chb:bcchwp:86Contact details of provider: Postal: Casilla No967, Santiago Phone: (562) 670 2000 Fax: (562) 698 4847 Web page: http://www.bcentral.cl/ More information through EDIRC
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Phillips, P.C.B., 1986.
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Cahiers de recherche
8633, Universite de Montreal, Departement de sciences economiques.
Other versions: Bierens, Herman J., 1997.
"Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate ,"
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[Downloadable!] (restricted)
Christiano, Lawrence J. & Eichenbaum, Martin, 1990.
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Other versions:
Lawrence J. Christiano & Martin Eichenbaum, 1989.
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Discussion Paper / Institute for Empirical Macroeconomics
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[Downloadable!] Lawrence J. Christiano & Martin Eichenbaum, 1990.
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"Unit Roots in Real GNP: Do We Know, and Do We Care? ,"
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[Downloadable!] (restricted) Rómulo Chumacero & Jorge Quiroz, 1996.
"La Tasa Natural de Crecimiento de la Economía Chilena: 1985-1996 ,"
Cuadernos de Economía (Latin American Journal of Economics) ,
Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 33(100), pages 453-472.
[Downloadable!]
Perron, Pierre, 1989.
"The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis ,"
Econometrica ,
Econometric Society, vol. 57(6), pages 1361-1401, November.
[Downloadable!] (restricted)
Other versions: Rómulo Chumacero, 2001.
"Testing for unit roots using economics ,"
Working Papers Central Bank of Chile
102, Central Bank of Chile.
[Downloadable!]
Other versions: Zivot, Eric & Andrews, Donald W K, 1992.
"Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 10(3), pages 251-70, July.
Other versions:
Eric Zivot & Donald W.K. Andrews, 1990.
"Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis ,"
Cowles Foundation Discussion Papers
944, Cowles Foundation, Yale University.
[Downloadable!] Zivot, Eric & Andrews, Donald W K, 2002.
"Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 20(1), pages 25-44, January.
Philip Rothman, .
"More Uncertainty About the Unit Root in U.S. Real GNP ,"
Working Papers
9616, East Carolina University, Department of Economics.
Other versions: Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
"Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root? ,"
Journal of Econometrics ,
Elsevier, vol. 54(1-3), pages 159-178.
[Downloadable!] (restricted)
Other versions:
Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991.
"Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root? ,"
Cowles Foundation Discussion Papers
979, Cowles Foundation, Yale University.
[Downloadable!] Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990.
"Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root? ,"
Papers
8905, Michigan State - Econometrics and Economic Theory.
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Pablo S. García & Luis Oscar Herrera & Rodrigo Valdés, 2001.
"New Frontiers for Monetary Policy in Chile ,"
Working Papers Central Bank of Chile
125, Central Bank of Chile.
[Downloadable!]
Gilberto A. Libanio, 2004.
"Unit roots in macroeconomic time series: theory, implications, and evidence ,"
Textos para Discussão Cedeplar-UFMG
td228, Cedeplar, Universidade Federal de Minas Gerais.
[Downloadable!]
Other versions: Rómulo A. Chumacero & J. Rodrigo Fuentes, 2002.
"On the determinants of the Chilean Economic Growth ,"
Working Papers Central Bank of Chile
134, Central Bank of Chile.
[Downloadable!]
Rómulo Chumacero, 2003.
"A Toolkit for Analyzing Alternative Policies in The Chilean Economy ,"
Working Papers Central Bank of Chile
241, Central Bank of Chile.
[Downloadable!]
Carlos Castellar & Jose Ignacio Uribe, 2004.
"Evolution and structure of unemployment in the metropolitan area of Cali 1988-1998. Does the unemployment rate present hysteresis? ,"
Colombian Economic Journal ,
Academia Colombiana de Ciencias Economicas, Colegio Mayor de Nuestra Senora del Rosario, Pontificia Universidad Javeriana, Universidad de Antioquia, Universidad de los Andes, Universidad del Valle, Un, vol. 2(1), pages 121-155, November.
[Downloadable!]
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