Nonlinearity in US macroeconomic time series

摘要

In this study, we evaluate the linearity of 170 major monthly US macroeconomic time series spanning the years 1959-2002. Employing the linearity test recently proposed by Harvey et al. (20089. Harvey, D. I., Leybourne, S. J. and Xiao, B. 2008. A powerful test for linearity when the order of integration is unknown. Studies in Nonlinear Dynamics and Econometrics , 12 Article 2[Web of Science ®]View all references), which is applicable when the order of integration is uncertain, we determined that more than half of the macroeconomic time series were nonlinear. In particular, approximately 75% of the time series in nominal prices, wages and money category were determined to be nonlinear, whereas the least abundant evidence, corresponding to approximately 43% of the series, was detected in the category of construction, inventories and order.View full textDownload full textRelated var addthis_config = { ui_cobrand: "Taylor & Francis Online", services_compact: "citeulike,netvibes,twitter,technorati,delicious,linkedin,facebook,stumbleupon,digg,google,more", pubid: "ra-4dff56cd6bb1830b" }; Add to shortlist Link Permalink http://dx.doi.org/10.1080/13504850903085001