Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates / Künstliche Persistenz und Einheitswurzeln infolge saisonaler Differenzen: Das Beispiel Inflationsraten
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DOI: 10.1515/jbnst-2005-0404
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- Aumann, Bernd & Scheufele, Rolf, 2009. "Is East Germany Catching Up? A Time Series Perspective," IWH Discussion Papers 14/2009, Halle Institute for Economic Research (IWH).
- Pedro M G Martins, 2010. "Fiscal Dynamics in Ethiopia: A Cointegrated VAR Model with Quarterly Data," Discussion Papers 10/05, University of Nottingham, CREDIT.
- Giovanni Caggiano & Efrem Castelnuovo, 2008. "Long Memory and Non-Linearities in International Inflation," "Marco Fanno" Working Papers 0076, Dipartimento di Scienze Economiche "Marco Fanno".
- Jürgen Wolters & Uwe Hassler, 2006.
"Unit Root Testing,"
Springer Books, in: Olaf Hübler & Jachim Frohn (ed.), Modern Econometric Analysis, chapter 4, pages 41-56,
Springer.
- Jürgen Wolters & Uwe Hassler, 2006. "Unit root testing," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 43-58, March.
- Wolters, Jürgen & Hassler, Uwe, 2005. "Unit root testing," Discussion Papers 2005/23, Free University Berlin, School of Business & Economics.
- Hassler, Uwe, 2014. "Persistence under temporal aggregation and differencing," Economics Letters, Elsevier, vol. 124(2), pages 318-322.
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Keywords
Annual growth rates; nonstationarity; Dickey-Fuller test; loss of power; Jährliche Wachstumsraten; Instationarität; Dickey-Fuller-Test; Güteverlust;All these keywords.
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