In this paper, we test the presence of stochastic trend in long series of US real GNP measured by Balke and Gordon (1989) and Romer (1989), using unit root tests robust against breaks and outliers. We apply two recent robust unit root tests proposed by Cavaliere and Georgiev (2009) and Lima and...

This article extends earlier efforts at redating the US business cycles for the 1790-1928 period using the real Gross Domestic Product (GDP) constructed by Johnson and Williamson (2008). The resulting chronology alters more than 50% percent of the peaks and troughs identified by the NBER and...

In this paper we investigate the effect of the outliers on the decomposition of Nelson-Plosser macroeconomic data set into permanent and transitory components from structural time series models. We show that the outliers can disturb the unobserved-components decomposition, especially the...

In this paper we investigate the effect of the outliers on the decomposition of Nelson-Plosser macroeconomic data set into permanent and transitory components from structural time series models. We show that the outliers can disturb the unobserved-components decomposition, especially the...

In this paper we examine the Environmental Kuznets Curve (EKC) hypothesis using the Ecological Footprint (EF), a more comprehensive indicator of environmental degradation, through a time-series analysis for seven Latin American countries covering the 1961-2007 period. We first test the EKC...

Monte Carlo simulations are used to study the size and power properties of two stationarity tests developed by Kwiatkowski et al. (1992) [KPSS] and Leybourne and McCabe (1994) [LMC] when the data contain additive outliers. We show that the KPSS tests are very robust to additive outliers whereas...

In this paper we propose an extension of the maximum likelihood seasonal cointegration procedure developed by Lee (1992) for daily time series. We compute the finite sample critical values of the associated test statistics in daily seasonal time series.

Monte Carlo simulations are used to study the size and power properties of two stationarity tests developed by Kwiatkowski et al. (1992) [KPSS] and Leybourne and McCabe (1994) [LMC] when the data contain additive outliers. We show that the KPSS tests are very robust to additive outliers whereas...

In this paper we propose an extension of the maximum likelihood seasonal cointegration procedure developed by Lee (1992) for daily time series. We compute the finite sample critical values of the associated test statistics in daily seasonal time series.