Abstract
Two sources of non-stationarities in the mean of macro-economic time series are investigated. The empirical evidence for several countries clearly implies that differencing is to be preferred to the assumption of a deterministic linear time trend. This result is somewhat weaker with respect to the analogous choice between seasonal differencing and seasonal dummy variables. It is recommended that the time series properties of the variables considered in empirical work be carefully checked, because the estimated relationships may heavily depend on the chosen detrending procedure. Les non-stationarites dans ies chroniques macro-economiques : resultats supplmentaires et implications. L'auteur examine deux sources de non-stationarite dans la mnoyenne des chroniques macroeconomiques. Les resultats d'analyses de donnees pour plusieurs pays montrent clairement qu'on doit preferer l'usage d'un processus de differences finies a l'emploi d'une tendance lineaire deterministe. Ce resultat est un peu moins robuste pour ce qui est du choix analogue entre l'utilisation de differences saisonnieres par rapport a
Keywords
MacroEconomicsSeries (stratigraphy)EconometricsComputer scienceGeology
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Publication Info
- Year
- 1986
- Type
- article
- Volume
- 19
- Issue
- 3
- Pages
- 498-498
- Citations
- 83
- Access
- Closed
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Cite This
Walter Wasserfallen
(1986).
Non-Stationarities in Macro-Economic Time Series -- Further Evidence and Implications.
Canadian Journal of Economics/Revue canadienne d économique
, 19
(3)
, 498-498.
https://doi.org/10.2307/135343
Identifiers
- DOI
- 10.2307/135343