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13. On the Power of Dickey-Fuller Tests against Fractional Alternatives

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© 2021 Princeton University Press, Princeton

© 2021 Princeton University Press, Princeton

Chapters in this book

  1. Frontmatter i
  2. Contents vii
  3. Preface ix
  4. Acknowledgments xi
  5. PART I: INTRODUCTION
  6. 1. Questions about Business Cycles 5
  7. PART II: BUSINESS CYCLE DURATIONS
  8. 2. Have Postwar Economic Fluctuations Been Stabilized? 35
  9. 3. Shorter Recessions and Longer Expansions 54
  10. 4. A Nonparametric Investigation of Duration Dependence in the American 64
  11. 5. Further Evidence on Business Cycle Duration Dependence 87
  12. 6. Measuring Business Cycles: A Modern Perspective 117
  13. 7. Regime Switching with Time-Varying Transition Probabilities 144
  14. PART III: BUSINESS CYCLE DYNAMICS
  15. 8. Trends and Random Walks in Macroeconomic Time Series: A Reexamination 169
  16. 9. The Uncertain Unit Root in Real GNP 194
  17. 10. The Uncertain Unit Root in Real GNP: Comment 207
  18. 11. Long Memory and Persistence in Aggregate Output 219
  19. 12. Is Consumption Too Smooth? Long Memory and the Deaton Paradox 241
  20. 13. On the Power of Dickey-Fuller Tests against Fractional Alternatives 258
  21. PART IV: BUSINESS CYCLE FORECASTING
  22. 14. The Past, Present, and Future of Macroeconomic Forecasting 267
  23. 15. Scoring the Leading Indicators 290
  24. 16. Turning Point Prediction with the Composite Leading Index: An Ex Ante Analysis 316
  25. 17. Forecasting Output with the Composite Leading Index: A Real-Time Analysis 342
  26. 18. New and Old Models of Business Investment: A Comparison of Forecasting Performance 361
  27. 19. Comparing Predictive Accuracy 387
  28. Name Index 413
  29. Subject Index 419
Business Cycles
This chapter is in the book Business Cycles
https://doi.org/10.1515/9780691219585-015

Chapters in this book

  1. Frontmatter i
  2. Contents vii
  3. Preface ix
  4. Acknowledgments xi
  5. PART I: INTRODUCTION
  6. 1. Questions about Business Cycles 5
  7. PART II: BUSINESS CYCLE DURATIONS
  8. 2. Have Postwar Economic Fluctuations Been Stabilized? 35
  9. 3. Shorter Recessions and Longer Expansions 54
  10. 4. A Nonparametric Investigation of Duration Dependence in the American 64
  11. 5. Further Evidence on Business Cycle Duration Dependence 87
  12. 6. Measuring Business Cycles: A Modern Perspective 117
  13. 7. Regime Switching with Time-Varying Transition Probabilities 144
  14. PART III: BUSINESS CYCLE DYNAMICS
  15. 8. Trends and Random Walks in Macroeconomic Time Series: A Reexamination 169
  16. 9. The Uncertain Unit Root in Real GNP 194
  17. 10. The Uncertain Unit Root in Real GNP: Comment 207
  18. 11. Long Memory and Persistence in Aggregate Output 219
  19. 12. Is Consumption Too Smooth? Long Memory and the Deaton Paradox 241
  20. 13. On the Power of Dickey-Fuller Tests against Fractional Alternatives 258
  21. PART IV: BUSINESS CYCLE FORECASTING
  22. 14. The Past, Present, and Future of Macroeconomic Forecasting 267
  23. 15. Scoring the Leading Indicators 290
  24. 16. Turning Point Prediction with the Composite Leading Index: An Ex Ante Analysis 316
  25. 17. Forecasting Output with the Composite Leading Index: A Real-Time Analysis 342
  26. 18. New and Old Models of Business Investment: A Comparison of Forecasting Performance 361
  27. 19. Comparing Predictive Accuracy 387
  28. Name Index 413
  29. Subject Index 419
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