The nature of Austrian macroeconomic time series unit root tests |
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Authors: | Thomas Url Gert Wehinger |
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Affiliation: | (1) Institut für Höhere Studien, Stumpergasse 56, A-1060 Wien;(2) Institut für Volkswirtschaftslehre und-politik Wirtschaftsuniversität Wien, Augasse 2-6, A-1090, Wien |
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Abstract: | It is still an open question in economic and econometric modelling whether the non-stationarity in a time series is captured by detrending or by differencing. We test thirrteen Austrian macroenconomic time series for difference versus trend stationarity using informal methods and formal procedures developed by Dickey-Fuller and Phillips-Perron. To eliminate the effects of seasonal adjustment on the tests we apply a third procedure to the unadjusted data, recently developed by Hylleberg-Engle-Granger-Yoo. Independent of the seasonal adjustment the empirical results indicate that these series are integrated of order 1. |
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