Testing the order of integration with low power tests. An application to argentine macro-variables
The low power of available econometric tests is an important problem in applied research on unit roots and related issues. Based on the principle of methodological triangulation, the problem should be analyzed from different points of view in order to increase the validity of the results. Following...
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Formato: | Artículo publishedVersion |
Lenguaje: | Inglés |
Publicado: |
2003
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Acceso en línea: | https://www.memoria.fahce.unlp.edu.ar/art_revistas/pr.8409/pr.8409.pdf |
Aporte de: |
id |
I19-R125-Jpr8409 |
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record_format |
dspace |
institution |
Universidad Nacional de La Plata |
institution_str |
I-19 |
repository_str |
R-125 |
collection |
Memoria Académica - FaHCE (UNLP) |
language |
Inglés |
orig_language_str_mv |
eng |
topic |
Ciencias sociales Economía Macroeconomía Argentina Unit root Persistence Cycles Structural breaks Argentine Macroeconomic variables |
spellingShingle |
Ciencias sociales Economía Macroeconomía Argentina Unit root Persistence Cycles Structural breaks Argentine Macroeconomic variables Carrera, Jorge Eduardo Féliz, Mariano Panígo, Demian Testing the order of integration with low power tests. An application to argentine macro-variables |
topic_facet |
Ciencias sociales Economía Macroeconomía Argentina Unit root Persistence Cycles Structural breaks Argentine Macroeconomic variables |
description |
The low power of available econometric tests is an important problem in applied research on unit roots and related issues. Based on the principle of methodological triangulation, the problem should be analyzed from different points of view in order to increase the validity of the results. Following this approach a strategy to test the order of integration in time series is presented using a sequence of eleven consolidated tests. In this way it is possible to determine the persistence of shocks, to specify the best strategy for trend-cycle decomposition and to obtain additional information useful for public policies. As an application of the methodology, the integration properties in the main 14 Argentine macroeconomic variables are studied. A classification of them in four homogenous groups according to their order of integration is obtained |
format |
Artículo Artículo publishedVersion |
author |
Carrera, Jorge Eduardo Féliz, Mariano Panígo, Demian |
author_facet |
Carrera, Jorge Eduardo Féliz, Mariano Panígo, Demian |
author_sort |
Carrera, Jorge Eduardo |
title |
Testing the order of integration with low power tests. An application to argentine macro-variables |
title_short |
Testing the order of integration with low power tests. An application to argentine macro-variables |
title_full |
Testing the order of integration with low power tests. An application to argentine macro-variables |
title_fullStr |
Testing the order of integration with low power tests. An application to argentine macro-variables |
title_full_unstemmed |
Testing the order of integration with low power tests. An application to argentine macro-variables |
title_sort |
testing the order of integration with low power tests. an application to argentine macro-variables |
publishDate |
2003 |
url |
https://www.memoria.fahce.unlp.edu.ar/art_revistas/pr.8409/pr.8409.pdf |
work_keys_str_mv |
AT carrerajorgeeduardo testingtheorderofintegrationwithlowpowertestsanapplicationtoargentinemacrovariables AT felizmariano testingtheorderofintegrationwithlowpowertestsanapplicationtoargentinemacrovariables AT panigodemian testingtheorderofintegrationwithlowpowertestsanapplicationtoargentinemacrovariables |
bdutipo_str |
Repositorios |
_version_ |
1764820502790012929 |