Testing the order of integration with low power tests : An application to argentine macro-variables

Autores
Carrera, Jorge Eduardo; Féliz, Mariano; Panigo, Demian Tupac
Año de publicación
2003
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
The low power of available econometric tests is an important problem in applied research on unit roots and related issues. Based on the principle of methodological triangulation, the problem should be analyzed from different points of view in order to increase the validity of the results. Following this approach a strategy to test the order of integration in time series is presented using a sequence of eleven consolidated tests. In this way it is possible to determine the persistence of shocks, to specify the best strategy for trend-cycle decomposition and to obtain additional information useful for public policies. As an application of the methodology, the integration properties in the main 14 Argentine macroeconomic variables are studied. A classification of them in four homogenous groups according to their order of integration is obtained.
Facultad de Humanidades y Ciencias de la Educación
Fuente
Memoria académica
Materia
Ciencias Sociales
Ciencias Económicas
Unit root
Persistence
Cycles
Structural breaks
Argentine
Macroeconomic variables
Nivel de accesibilidad
acceso abierto
Condiciones de uso
http://creativecommons.org/licenses/by-nc-nd/4.0/
Repositorio
SEDICI (UNLP)
Institución
Universidad Nacional de La Plata
OAI Identificador
oai:sedici.unlp.edu.ar:10915/90999
Acceder
id SEDICI_2d8728e5d14190a4840f1a23db5cad08
oai_identifier_str oai:sedici.unlp.edu.ar:10915/90999
network_acronym_str SEDICI
repository_id_str 1329
network_name_str SEDICI (UNLP)
spelling Testing the order of integration with low power tests : An application to argentine macro-variablesCarrera, Jorge EduardoFéliz, MarianoPanigo, Demian TupacCiencias SocialesCiencias EconómicasUnit rootPersistenceCyclesStructural breaksArgentineMacroeconomic variablesThe low power of available econometric tests is an important problem in applied research on unit roots and related issues. Based on the principle of methodological triangulation, the problem should be analyzed from different points of view in order to increase the validity of the results. Following this approach a strategy to test the order of integration in time series is presented using a sequence of eleven consolidated tests. In this way it is possible to determine the persistence of shocks, to specify the best strategy for trend-cycle decomposition and to obtain additional information useful for public policies. As an application of the methodology, the integration properties in the main 14 Argentine macroeconomic variables are studied. A classification of them in four homogenous groups according to their order of integration is obtained.Facultad de Humanidades y Ciencias de la Educación2003info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticulohttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdf221-246http://sedici.unlp.edu.ar/handle/10915/90999<a href="http://www.memoria.fahce.unlp.edu.ar" target="_blank">Memoria académica</a>reponame:SEDICI (UNLP)instname:Universidad Nacional de La Platainstacron:UNLPenginfo:eu-repo/semantics/altIdentifier/url/http://www.memoria.fahce.unlp.edu.ar/library?a=d&c=arti&d=Jpr8409info:eu-repo/semantics/altIdentifier/url/https://www.tandfonline.com/doi/abs/10.1080/15140326.2003.12040592info:eu-repo/semantics/altIdentifier/issn/1514-0326info:eu-repo/semantics/altIdentifier/doi/10.1080/15140326.2003.12040592info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-nd/4.0/Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0)2025-10-22T16:58:55Zoai:sedici.unlp.edu.ar:10915/90999Institucionalhttp://sedici.unlp.edu.ar/Universidad públicaNo correspondehttp://sedici.unlp.edu.ar/oai/snrdalira@sedici.unlp.edu.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:13292025-10-22 16:58:55.498SEDICI (UNLP) - Universidad Nacional de La Platafalse
dc.title.none.fl_str_mv Testing the order of integration with low power tests : An application to argentine macro-variables
title Testing the order of integration with low power tests : An application to argentine macro-variables
spellingShingle Testing the order of integration with low power tests : An application to argentine macro-variables
Carrera, Jorge Eduardo
Ciencias Sociales
Ciencias Económicas
Unit root
Persistence
Cycles
Structural breaks
Argentine
Macroeconomic variables
title_short Testing the order of integration with low power tests : An application to argentine macro-variables
title_full Testing the order of integration with low power tests : An application to argentine macro-variables
title_fullStr Testing the order of integration with low power tests : An application to argentine macro-variables
title_full_unstemmed Testing the order of integration with low power tests : An application to argentine macro-variables
title_sort Testing the order of integration with low power tests : An application to argentine macro-variables
dc.creator.none.fl_str_mv Carrera, Jorge Eduardo
Féliz, Mariano
Panigo, Demian Tupac
author Carrera, Jorge Eduardo
author_facet Carrera, Jorge Eduardo
Féliz, Mariano
Panigo, Demian Tupac
author_role author
author2 Féliz, Mariano
Panigo, Demian Tupac
author2_role author
author
dc.subject.none.fl_str_mv Ciencias Sociales
Ciencias Económicas
Unit root
Persistence
Cycles
Structural breaks
Argentine
Macroeconomic variables
topic Ciencias Sociales
Ciencias Económicas
Unit root
Persistence
Cycles
Structural breaks
Argentine
Macroeconomic variables
dc.description.none.fl_txt_mv The low power of available econometric tests is an important problem in applied research on unit roots and related issues. Based on the principle of methodological triangulation, the problem should be analyzed from different points of view in order to increase the validity of the results. Following this approach a strategy to test the order of integration in time series is presented using a sequence of eleven consolidated tests. In this way it is possible to determine the persistence of shocks, to specify the best strategy for trend-cycle decomposition and to obtain additional information useful for public policies. As an application of the methodology, the integration properties in the main 14 Argentine macroeconomic variables are studied. A classification of them in four homogenous groups according to their order of integration is obtained.
Facultad de Humanidades y Ciencias de la Educación
description The low power of available econometric tests is an important problem in applied research on unit roots and related issues. Based on the principle of methodological triangulation, the problem should be analyzed from different points of view in order to increase the validity of the results. Following this approach a strategy to test the order of integration in time series is presented using a sequence of eleven consolidated tests. In this way it is possible to determine the persistence of shocks, to specify the best strategy for trend-cycle decomposition and to obtain additional information useful for public policies. As an application of the methodology, the integration properties in the main 14 Argentine macroeconomic variables are studied. A classification of them in four homogenous groups according to their order of integration is obtained.
publishDate 2003
dc.date.none.fl_str_mv 2003
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Articulo
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://sedici.unlp.edu.ar/handle/10915/90999
url http://sedici.unlp.edu.ar/handle/10915/90999
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/http://www.memoria.fahce.unlp.edu.ar/library?a=d&c=arti&d=Jpr8409
info:eu-repo/semantics/altIdentifier/url/https://www.tandfonline.com/doi/abs/10.1080/15140326.2003.12040592
info:eu-repo/semantics/altIdentifier/issn/1514-0326
info:eu-repo/semantics/altIdentifier/doi/10.1080/15140326.2003.12040592
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
http://creativecommons.org/licenses/by-nc-nd/4.0/
Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0)
eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by-nc-nd/4.0/
Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0)
dc.format.none.fl_str_mv application/pdf
221-246
dc.source.none.fl_str_mv <a href="http://www.memoria.fahce.unlp.edu.ar" target="_blank">Memoria académica</a>
reponame:SEDICI (UNLP)
instname:Universidad Nacional de La Plata
instacron:UNLP
reponame_str SEDICI (UNLP)
collection SEDICI (UNLP)
instname_str Universidad Nacional de La Plata
instacron_str UNLP
institution UNLP
repository.name.fl_str_mv SEDICI (UNLP) - Universidad Nacional de La Plata
repository.mail.fl_str_mv alira@sedici.unlp.edu.ar
_version_ 1846783216016424960
score 12.982451

Publicaciones similares