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Racines unitaires en macroéconomie : le cas d’une variable

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  • Perron, Pierre

    (Département de Sciences Économiques, Université de Montréal)

Abstract

This study presents an introduction to various concepts and issues related to autoregressive unit roots in the analysis of univariate time series models. The following topics are discussed: representation of the stochastic processes, testing procedures, issues related to the power of the tests, interpretation of the results and the practical usefulness of taking into account the problems caused by these unit roots. The study highlights the following points. First, unit root tests are highly dependent upon the specification of the deterministic component of the series. Secondly, tests for unit roots do not have much usefulness as a means of uncovering some kind of underlying "true process" but should be viewed rather as a device to 1) impose some useful restrictions, and ii) provide a guide to the appropriate asymptotic distribution to be used in subsequent steps. La présente étude fournit une introduction à certaines questions et concepts reliés aux racines unitaires autorégressives dans l’analyse statistique de modèles de séries chronologiques à une variable. On y aborde les sujets suivants : représentation des processus stochastiques, procédures de tests, questions reliées à leur puissance, interprétation des résultats et utilité pratique de prendre en compte des problèmes causés par la présence de racines unitaires. L’étude fait ressortir d’une part l’importance de la spécification de la partie déterministe de la série, et d’autre part l’utilité des tests de racines unitaires non pas en tant que moyens de découvrir le « vrai » processus sous-jacent mais en tant que moyens pratiques pour (i) imposer certaines restrictions utiles et (ii) permettre un guide quant à la classe appropriée de distributions asymptotiques à utiliser.

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  • 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.
    • Handle: RePEc:ris:actuec:v:68:y:1992:i:1:p:325-356
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    1. Serge Coulombe, 2000. "New Evidence of Convergence Across Canadian Provinces: The Role of Urbanization," Regional Studies, Taylor & Francis Journals, vol. 34(8), pages 713-725.
    2. Pierre Perron & Gabriel Rodríguez, "undated". "Residuals-based Tests for Cointegration with GLS Detrended Data," Boston University - Department of Economics - Working Papers Series wp2015-017, Boston University - Department of Economics, revised 19 Oct 2015.
    3. Gabriel Rodriguez & Pierre Perron, 2013. "Single-equation tests for Cointegration with GLS Detrended Data," Boston University - Department of Economics - Working Papers Series 2013-016, Boston University - Department of Economics.
    4. Harchaoui, Tarek M. & Lasserre, Pierre, 1995. "Testing the impact of taxation on capacity choice: A 'putty clay' approach," Journal of Public Economics, Elsevier, vol. 56(3), pages 377-411, March.
    5. EL BOUHADI, Hamid & OUAHID, Driss, 2014. "Datation des changements structurels au sein d’une chronique : le cas des séries macroéconomiques marocaines [Dating structural changes in time series : the case of the Moroccan macroeconomic serie," MPRA Paper 68168, University Library of Munich, Germany.

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