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Non-stationarity Tests in Macroeconomic Time Series

Author

Listed:
  • Olivier Darné

    (CERESUR - Centre d'Etudes et de Recherches Economique et Sociales de l'Université de La Réunion - UR - Université de La Réunion)

  • Claude Diebolt

    (BETA - Bureau d'Économie Théorique et Appliquée - INRA - Institut National de la Recherche Agronomique - UNISTRA - Université de Strasbourg - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper presents a selective survey of the literature on non-stationarity tests, namely standard and efficient unit root tests and stationarity tests, with or without structural changes. We also present the direct relation between non-stationarity tests and four economic theories, such as business cycles, hysteresis, purchasing power parity and convergence.

Suggested Citation

  • Olivier Darné & Claude Diebolt, 2005. "Non-stationarity Tests in Macroeconomic Time Series," Post-Print hal-00279447, HAL.
    • Handle: RePEc:hal:journl:hal-00279447
    DOI: 10.1007/3-540-28556-3_9
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    Cited by:

    1. Claude Diebolt & Magali Jaoul-Grammare, 2014. "The payroll of the Germany: 1810-1989 [La masse salariale de l'Allemagne: 1810-1989]," Post-Print hal-01744546, HAL.
    2. Claude Diebolt & Olivier Darné, 2005. "Cliometrics of Academic Careers and the Impact of Infrequent Large Shocks in Germany before 1945," Post-Print hal-00279246, HAL.
    3. Claude DIEBOLT & Magali JAOUL-GRAMMARE, 2014. "La masse salariale de l'Allemagne: 1810-1989. Nouvelle mesure et analyse cliométrique des chocs," Economies et Sociétés (Serie 'Histoire Economique Quantitative'), Association Française de Cliométrie (AFC), issue 49, pages 1269-1292, Août.
    4. Jean Luc de Meulemeester & Claude Diebolt & Magali Jaoul-Grammare, 2007. "Aggregate Wage Earnings in Germany: 1810-1989. New Measurement and Cliometric Analysis of Shocks," Working Papers 07-11, Association Française de Cliométrie (AFC).
    5. Diebolt, Claude & Parent, Antoine, 2008. "Bimetallism: The "rules of the game"," Explorations in Economic History, Elsevier, vol. 45(3), pages 288-302, July.

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