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Killing Four Unit Root Birds in the US Economy with Three Panel Unit Root Test Stones
Uppsala University, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Faculty of Social Sciences, Department of Economics.
2004 (English)In: Applied Economics Letters, Vol. 11, no 4, 213-216 p.Article in journal (Refereed) Published
Abstract [en]

This study tests for the presence of unit roots in four US macroeconomic time series using panel unit root tests. The Im, Pesaran and Shin (Journal of Econometrics, 115, pp. 53–74, 2003) test, the Multivariate Augmented Dickey-Fuller test (Taylor and Sarno, Journal of International Economics, 46, pp. 281–312, 1998) and the Johansen (Journal of Economic Dynamics and Control, 12, pp. 231–54, 1988) likelihood ratio test are applied to unemployment, the real exchange rate, the nominal interest rate and inflation. The three tests all have ways of controlling the obvious cross-sectional dependence in the panel. Using monthly data from 1960 to 2002 there is evidence that all time series are generated by stationary processes.

Place, publisher, year, edition, pages
2004. Vol. 11, no 4, 213-216 p.
Identifiers
URN: urn:nbn:se:uu:diva-68302OAI: oai:DiVA.org:uu-68302DiVA: diva2:96213
Available from: 2005-03-03 Created: 2005-03-03 Last updated: 2011-01-12

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CiteExportLink to record
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