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Contrastes de raíces unitarias, para series mensuales. Una aplicación al IPC

Author

Listed:
  • María de los Llanos Matea

    (Banco de España)

Abstract

This working paper details unit root tests for monthly series, with the possibility of the stationary part having been generated by an ARMA process. The paper is complemented by an application to the four basic stochastic components of the consumer price index. Test evidences that the long-run behaviour of these variables is very different

Suggested Citation

  • María de los Llanos Matea, 1992. "Contrastes de raíces unitarias, para series mensuales. Una aplicación al IPC," Working Papers 9214, Banco de España.
    • Handle: RePEc:bde:wpaper:9214
    as

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    Cited by:

    1. Luis J. Álvarez & María de los Llanos Matea, 1999. "Underlying Inflation Measures in Spain," Working Papers 9911, Banco de España.

    More about this item

    Keywords

    Seasonal unit roots; CPI;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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