Non-stationarity, forecast performance and fluctuations in macroeconomic series: Experience with United States seasonal data and simulations

An important issue in macroeconomic modelling using times series data centers around the question of whether the observed series is generated by a stationary or a non-stationary process. Recent research has shown that there is a seasonal cycle in the US economy that closely mirrors business cycles (Barsky and Miron, 1989). It is thus important to apply the seasonal unit root tests to investigate the question of seasonal non-stationarity in the data generating process (DGP) and examine the properties of such series. This dissertation undertakes such an exercise using seasonally unadjusted US data.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Economics

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2011

Author dc:creator

• Islam, Faridul

Contributors dc:contributor

• Newbold, Paul

• Economics, General

Statement dc:rights

• Copyright 1996 Islam, Faridul

Language dc:language

eng

Identifier

AAI9625145
(UMI)AAI9625145

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/23131