trends and randomwalks in macroeconomictime series

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1、JournalofEconomicDynamicsandControl12(1988)297-332.North-HollandTRENDSANDRANDOMWALKSINMACROECONOMICTIMESERIESFurtherEvidencefromaNewApproachPierrePERRON*UniversityofMontreal,Montreal,CanadaH3C3J7ReceivedOctober1987,finalversionreceivedDecember1987Thispaperpresentsasu

2、mmaryofrecentworkonanewmethodologytotestforthepresenceofaunitrootinunivariatetimeseriesmodels.Thestochasticframeworkisquitegeneral.WhiletheDickey-Fullerapproachaccountsfortheautocorrelationofthefirst-differencesofaseriesinaparametricfashionbyestimatingadditionalnuisa

3、nceparameters,thisnewapproachdealswiththisphenomenoninanonparametricway.Weapplythesenewteststoreassessrecentfindingsonthebehaviorofcommonmacroeconomictimeseries,includingthevariousseriesstudiedbyNelsonandPlosser(1982).1.IntroductionInthetimeseriesrepresentationofavar

4、iable,thehypothesisofaunitroothasattractedanincreasingamountofattention.AsBlanchard(1981)pointedout,thereseemstobeanepidemicofmartingalesineconomics.Theepidemichastakenboththeoreticalandempiricaldirections.Thepresenceofaunitrootisoftenatheoreticalimplicationofmodelsw

5、hichpostulatetherationaluseofinformationavailabletoeconomicagents.Examplesfromeconomicsincludevariousfinancialmarketvariablessuchasfuturecontracts[Samuelson(1965)],stockprices[Samuelson(1973)],divi-dendsandearnings[Kleidon(1986)],spotandforwardexchangerates[MeeseandS

6、ingleton(1983)],andevenaggregatevariableslikerealconsumption[Hall(1978)]andinvestment[Blanchard(1981)].Testsoftheunitroothypothesisarealsoofinterest(evenifitisnotatheoreticalimplicationofaformalmodel)becausetheyhelptoevaluatethenatureofthenonstationaritythatmostmacro

7、economicdataexhibit.In*TheauthorisindebtedtoPeterC.B.PhillipsandJamesStockforhelpfuldiscussions.IalsowishtothankBryanCampbell,arefereeandtheparticipantsattheNBERsFinancialMarketsandMonetaryEconomicssummerworkshopfortheircomments.CharlesR.NelsonandRobertJ.Shillerkindl

8、yprovidedthedatausedinthisstudy.ThisresearchwasfinancedinpartbyagrantfromtheUniversityofMontreal(CAFIR).0165-1889/88/$3.5001988,Els