Infrequent Permanent Shoks and Signal Extraction in Macroeconomic Time Series

Bianchi, Marco (1992) Infrequent Permanent Shoks and Signal Extraction in Macroeconomic Time Series. Bologna: Dipartimento di Scienze economiche DSE, p. 40. DOI 10.6092/unibo/amsacta/5219. In: Quaderni - Working Paper DSE (141). ISSN 2282-6483.
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Abstract

A procedure based on density estimation is suggested in the paper to discriminate trend stationary processes about local linear time trends from difference stationary processes. A 'rule of thumb' is constructed to detect the suitability of a segmented trend representation, and a regression analysis is used to identify the number and the dates of structural breaks. The U.S. series of nominal wages over the period 1900-1970 is analysed according to the assumption the dynamics are driven by exogenous shocks which occur infrequently. In a multivariate domain, implications of segmented trend modeling for cointegration theory are also briefly considered.

Abstract
Document type
Monograph (Working Paper)
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CreatorsAffiliationORCID
Bianchi, Marco
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ISSN
2282-6483
DOI
Deposit date
22 Jun 2016 08:17
Last modified
22 Jun 2016 08:17
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