期刊名称：Birkbeck Working Papers in Economics and Finance / School of Economics, Mathematics and Statistics, Birkbeck College
印刷版ISSN：1745-8587
出版年度：2007
卷号：2007
出版社：London University
摘要：We carry out a meta-analysis on the frequency of unit-roots in macroeconomic
time series with a dataset covering 249 variables for the G7 countries. We use
linear tests and the three popular non-linear tests (TAR, ESTAR and Markov
Switching). In general, the evidence in favour of the random walk hypothesis is
weaker than in previous studies. This evidence against unit roots is stronger
for real and nominal asset prices. Our results show that rejection of the null
of a unit root in the macro dataset is substantially higher for non-linear than
linear models. Finally, the results from a Monte Carlo experiment show that
rejection frequencies are very close to the nominal size of the test when the
DGP is a linear unit root process. This leads us to reject the hypothesis that
overfitting deterministic components explains the higher rejection frequencies
of nonlinear tests.
