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|Title:||Testing For Deterministic And Stochastic Cycles In Macroeconomic Time Series|
|Keywords:||Deterministic Cycles, Stochastic Cycles, Long Memory|
|Citation:||Economics and Finance Working papers, Brunel University, 05-11|
|Abstract:||In this paper we use a statistical procedure which is appropriate to test for deterministic and stochastic (stationary and nonstationary) cycles in macroeconomic time series. These tests have standard null and local limit distributions and are easy to apply to raw time series. Monte Carlo evidence shows that they perform relatively well in the case of functional misspecification in the cyclical structure of the series. As an example, we use this approach to test for the presence of cycles in US real GDP.|
|Appears in Collections:||Economics and Finance|
Dept of Economics and Finance Research Papers
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