Trend, Unit Root and Structural Change in Macroeconomic Time Series

Pierre Perron Z

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Abstract

The unit root hypothesis has attracted a considerable amount of work in both the economics and statistics literature. Indeed, the view that most economic time series are characterized by a stochastic rather than deterministic nonstationarity has become prevalent. The seminal study of Nelson and Plosser (1982) which found that most macroeconomic variables have a univariate time series structure with a unit root has catalysed a burgeoning research program with both empirical and theoretical dimensions.

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1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1988Trends and random walks in macroeconomic time series 1997Further evidence on breaking trend functions in macroeconomic variables 1992Nonstationarity and Level Shifts With an Application to Purchasing Power Parity 1990Testing for a Unit Root in a Time Series With a Changing Mean 2013Phases of capitalist development

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