Non-stationarity, forecast performance and fluctuations in macroeconomic series: Experience with United States seasonal data and simulations
An important issue in macroeconomic modelling using times series data centers around the question of whether the observed series is generated by a stationary or a non-stationary process. Recent research has shown that there is a seasonal cycle in the US economy that closely mirrors business cycles (Barsky and Miron, 1989). It is thus important to apply the seasonal unit root tests to investigate the question of seasonal non-stationarity in the data generating process (DGP) and examine the properties of such series. This dissertation undertakes such an exercise using seasonally unadjusted US data.
Year of publication: |
1996
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Authors: | Islam, Faridul |
Other Persons: | Newbold, Paul (contributor) |
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