IDEAS home Printed from https://ideas.repec.org/a/nov/artigo/v15y2005i3p145-176.html
   My bibliography  Save this article

Unit roots in macroeconomic time series: theory, implications, and evidence

Author

Listed:
  • Gilberto Libanio

    (UFMG)

Abstract

The theme of unit roots in macroeconomic time series has received a great amount of theoretical and applied research in the last two decades. This paper presents some of the main issues regarding unit root tests, explores some of the implications for macroeconomic theory and policy, and reviews the recent evidence on the presence of unit roots in GDP series for Latin American countries. We conclude that a consensual view on many of the aspects involved has not emerged from this literature.

Suggested Citation

  • Gilberto Libanio, 2005. "Unit roots in macroeconomic time series: theory, implications, and evidence," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 15(3), pages 145-176, September.
    • Handle: RePEc:nov:artigo:v:15:y:2005:i:3:p:145-176
    as

    Download full text from publisher

    File URL: http://www.face.ufmg.br/novaeconomia/sumarios/v15n3/150306.pdf
    Download Restriction: no
    File URL: http://www.scielo.br/scielo.php?script=sci_pdf&pid=S0103-63512005000300006&lng=pt&nrm=iso&tlng=en
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-673, September.
    2. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
    3. Brian Snowdon & Howard R. Vane & Peter Wynarczyk, 1994. "A Modern Guide To Macroeconomics," Books, Edward Elgar Publishing, number 450.
    4. Katarina Juselius, 1999. "Models and relations in economics and econometrics," Journal of Economic Methodology, Taylor & Francis Journals, vol. 6(2), pages 259-290.
    5. 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.
    6. McCallum, Bennett T, 1986. "On "Real' and "Sticky-Price' Theories of the Business Cycle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 18(4), pages 397-414, November.
    7. 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.
    8. Cribari-Neto, Francisco, 1996. "On time series econometrics," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(Supplemen), pages 37-60.
    9. David E. Rapach, 2002. "Are Real GDP Levels Nonstationary? Evidence from Panel Data Tests," Southern Economic Journal, John Wiley & Sons, vol. 68(3), pages 473-495, January.
    10. Christiano, Lawrence J. & Eichenbaum, Martin, 1990. "Unit roots in real GNP: Do we know, and do we care?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 32(1), pages 7-61, January.
    11. Bennett T. McCallum, 2002. "Recent developments in monetary policy analysis: the roles of theory and evidence," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 67-96.
    12. John Y. Campbell & N. Gregory Mankiw, 1987. "Are Output Fluctuations Transitory?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 102(4), pages 857-880.
    13. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
    14. Campbell, John Y. & Mankiw, N. Gregory, 1989. "International evidence on the persistence of economic fluctuations," Journal of Monetary Economics, Elsevier, vol. 23(2), pages 319-333, March.
    15. Cross,Rod Preface by-Name:Blanchard,Olivier (ed.), 1995. "The Natural Rate of Unemployment," Cambridge Books, Cambridge University Press, number 9780521483308, September.
    16. West, Kenneth D, 1988. "On the Interpretation of Near Random-walk Behavior in GNP," American Economic Review, American Economic Association, vol. 78(1), pages 202-209, March.
    17. Rudebusch, Glenn D, 1992. "Trends and Random Walks in Macroeconomic Time Series: A Re-examination," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(3), pages 661-680, August.
    18. Juan Carlos Moreno-Brid, 1999. "Mexico's Economic Growth and the Balance of Payments Constraint: A cointegration analysis," International Review of Applied Economics, Taylor & Francis Journals, vol. 13(2), pages 149-159.
    19. Frank Hahn & Robert Solow, 1997. "A Critical Essay on Modern Macroeconomic Theory," MIT Press Books, The MIT Press, edition 1, volume 1, number 026258154x, April.
    20. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    21. David E. Rapach, 2002. "Are Real GDP Levels Nonstationary? Evidence from Panel Data Tests," Southern Economic Journal, John Wiley & Sons, vol. 68(3), pages 473-495, January.
    22. Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992. "Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 271-287, July.
    23. Neto, Francisco Cribari, 1992. "Persistência de inovações e política econômica: a experiência do II PND," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 46(3), July.
    24. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
    25. John Elder & Peter E. Kennedy, 2001. "Testing for Unit Roots: What Should Students Be Taught?," The Journal of Economic Education, Taylor & Francis Journals, vol. 32(2), pages 137-146, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Gilberto A. Libanio, 2004. "Unit roots in macroeconomic time series: a post Keynesian interpretation," Textos para Discussão Cedeplar-UFMG td233, Cedeplar, Universidade Federal de Minas Gerais.
    2. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3.
    3. Diego Romero‐Ávila, 2007. "The Unit Root Hypothesis for Aggregate Output May Not Hold after All: New Evidence from a Panel Stationarity Test with Multiple Breaks," Southern Economic Journal, John Wiley & Sons, vol. 73(3), pages 642-658, January.
    4. Norman J. Morin & John M. Roberts, 1999. "Is hysteresis important for U.S. unemployment?," Finance and Economics Discussion Series 1999-56, Board of Governors of the Federal Reserve System (U.S.).
    5. Murray, Christian J. & Nelson, Charles R., 2000. "The uncertain trend in U.S. GDP," Journal of Monetary Economics, Elsevier, vol. 46(1), pages 79-95, August.
    6. Romero-Ávila, Diego, 2009. "Multiple Breaks, Terms of Trade Shocks and the Unit-Root Hypothesis for African Per Capita Real GDP," World Development, Elsevier, vol. 37(6), pages 1051-1068, June.
    7. Jürgen Wolters & Uwe Hassler, 2006. "Unit root testing," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 43-58, March.
    8. Kul B. Luintel, 2000. "Real exchange rate behaviour: evidence from black markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 161-185.
    9. repec:ebl:ecbull:v:3:y:2007:i:23:p:1-15 is not listed on IDEAS
    10. Cheung, Yin-Wong & Chinn, Menzie D, 1997. "Further Investigation of the Uncertain Unit Root in GNP," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 68-73, January.
    11. Perron, Pierre, 1992. "Racines unitaires en macroéconomie : le cas d’une variable," L'Actualité Economique, Société Canadienne de Science Economique, vol. 68(1), pages 325-356, mars et j.
    12. Natalie Hegwood & David H. Papell, 2007. "Are Real GDP Levels Trend, Difference, or Regime‐Wise Trend Stationary? Evidence from Panel Data Tests Incorporating Structural Change," Southern Economic Journal, John Wiley & Sons, vol. 74(1), pages 104-113, July.
    13. Perron, Pierre & Rodriguez, Gabriel, 2003. "GLS detrending, efficient unit root tests and structural change," Journal of Econometrics, Elsevier, vol. 115(1), pages 1-27, July.
    14. Surajit Deb, 2003. "Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework," Working papers 115, Centre for Development Economics, Delhi School of Economics.
    15. Geetha Mayadunne & Merran Evans & Brett Inder, 1995. "An Empirical Investigation of Shock Persistence in Economic Time Series," The Economic Record, The Economic Society of Australia, vol. 71(2), pages 145-156, June.
    16. Quah, Danny, 1992. "The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds," Econometrica, Econometric Society, vol. 60(1), pages 107-118, January.
    17. Anyikwa, Izunna & Hamman, Nicolene & Phiri, Andrew, 2018. "Persistence of suicides in G20 countries: SPSM approach to three generations of unit root tests," MPRA Paper 87790, University Library of Munich, Germany.
    18. Newbold, Paul & Leybourne, Stephen & Wohar, Mark E., 2001. "Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993," Journal of Economics and Business, Elsevier, vol. 53(1), pages 85-102.
    19. Magnus Gustavsson & Pär Österholm, 2007. "Does Unemployment Hysteresis Equal Employment Hysteresis?," The Economic Record, The Economic Society of Australia, vol. 83(261), pages 159-173, June.
    20. Yamin Ahmad & Adam Check & Ming Chien Lo, 2024. "Unit Roots in Macroeconomic Time Series: A Comparison of Classical, Bayesian and Machine Learning Approaches," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2139-2173, June.
    21. Ambler, Steven & Cardia, Emanuela & Phaneuf, Louis, 1992. "Contrats de salaire, croissance endogène et fluctuations," L'Actualité Economique, Société Canadienne de Science Economique, vol. 68(1), pages 175-204, mars et j.

    More about this item

    Keywords

    time-series models; unit roots; business fluctuations;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nov:artigo:v:15:y:2005:i:3:p:145-176. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Lucas Resende de Carvalho (email available below). General contact details of provider: https://edirc.repec.org/data/fufmgbr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.