Search Results | Publications

You searched for:

Keyword: nonstationarity;

4 results found.

Econometrics Paper

Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income

L A Gil-Alaña and Peter M Robinson

The seasonal structure of quarterly UK and Japanese consumption and income is examined by means of fractionally-based tests proposed by Robinson (1994). These series were analysed from an autoregressive unit root viewpoi...Read more...

November 2000

Econometrics Paper

Aggregation of Simple Linear Dynamics: Exact Asymptotic Results

Marco Lippi and Paolo Zaffaroni

his paper deal with aggregation of AR(1) micro variables driven by a common and idiosyncratic shock with random coefficients. We provide a rigorous analysis, based on results on sums of r.v.'s with a possibly finite firs...Read more...

April 1998

Econometrics Paper

Testing of Unit Root and Other Nonstationary Hypotheses in Macroeconomic Time Series - (Now published in 'Journal of Econometrics', 80, 1997, pp.241-268.)

L A Gil-Alaña and Peter M Robinson

Recently proposed tests for unit root and other nonstationarity of Robinson (1994a) are applied to an extended version of the data set used by Nelson and Plosser (1982). Unusually, the tests are efficient (against approp...Read more...

December 1996

Econometrics Paper

The Multivariate Invariance Principle for Globally Nonstationary Processes, with an Application to I(2) Models

James Davidson

A multivariate invariance principle is given for dependent processes exhibiting trending variances and other types of global nonstationarity. The limit processes obtained in these results are not Brownian motion, but mem...Read more...

1993