Variance-Ratio Tests: Small-Sample Properties With an Application to International Output Data

REFERENCES

• Blough , S. R. 1992 . “The Relationship Between Power and Level for Generic Unit Root Tests in Finite Samples” . Journal of Applied Econometrics , 7 : 295 – 308 .
   Web of Science ®Google Scholar
• Campbell , J. Y. and Mankiw , N. G. 1987a . “Permanent and Transitory Components in Macroeconomic Fluctuations,” . American Economic Review , 11 : 111 – 117 .
   Google Scholar
• Campbell , J. Y. and Mankiw , N. G. 1987b . “Are Output Fluctuations Transitory?” . Quarterly Journal of Economics , 102 : 857 – 880 .
   Web of Science ®Google Scholar
• Campbell , J. Y. and Mankiw , N. G. 1989 . “International Evidence on the Persistence of Economic Fluctuations,” . Journal of Monetary Economics , 23 : 297 – 318 .
   Web of Science ®Google Scholar
• Cecchetti , S. G. , Lam , P. and Mark , N. C. 1990 . “Mean Reversion in Equilibrium Asset Prices,” . American Economic Review , 80 : 398 – 418 .
   Web of Science ®Google Scholar
• Christiano , L. J. and Eichenbaum , M. 1990 . “Unit Roots in GNP: Do We Know, and Do We Care?” . Camegie-Rochester Conference Series on Public Policy , 32 : 7 – 62 .
   Google Scholar
• Cochrane , J. H. 1988 . “How Big is the Random Walk in GNP?” . Journal of Political Economy , 96 : 893 – 920 .
   Web of Science ®Google Scholar
• Cochrane , J. H. 1991 . “A Critique of the Application of Unit Root Tests,” . Journal of Economic Dynamics and Control , 15 : 275 – 284 .
   Web of Science ®Google Scholar
• Cogley , T. 1990 . “International Evidence on the Size of the Random Walk in Output,” . Journal of Political Economy , 98 : 501 – 518 .
   Web of Science ®Google Scholar
• Diebold , F. X. 1989 . “Random Walks vs. Fractional Integration: Power Comparisons of Scalar and Joint Tests of the Variance-Time Function,” . In Advances in Econometrics and Modeling , Edited by: Baldev , R. 29 – 45 . Needham , MA : Kluwer .
   Google Scholar
• Faust , J. 1992 . “When Are Variance Ratio Tests for Serial Dependence Optimal?” . Econometrica , 60 : 1215 – 1226 .
   Web of Science ®Google Scholar
• Hamilton , J. D. 1989 . “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle,” . Econometrica , 57 : 357 – 384 .
   Web of Science ®Google Scholar
• Kormendi , R. C. and Meguire , P. 1990 . “A Multicountry Characterization of the Nonstationarity of Aggregate Output,” . Journal of Money, Credit and Banking , 22 : 77 – 93 .
   Web of Science ®Google Scholar
• Lam , P. 1990 . “The Hamilton Model With a General Autoregressive Component: Estimation and Comparison With Other Models of Economic Time Series,” . Journal of Monetary Economics , 26 : 409 – 432 .
   Web of Science ®Google Scholar
• Lo , A. and MacKinlay , A. C. 1988 . “Stock Market Prices Do Not Follow Random Walks: Evidence From Simple Specification Test,” . Review of Financial Studies , 1 : 41 – 66 .
   Web of Science ®Google Scholar
• Lo , A. and MacKinlay , A. C. 1989 . “The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation,” . Journal of Econometrics , 40 : 203 – 238 .
   Web of Science ®Google Scholar
• Maddison , A. 1982 . Phases of Capitalist Development , New York : Oxford University Press .
   Google Scholar
• Perron , P. 1989 . “The Great Crash, the Oil Price Shock and the Unit Root Hypothesis,” . Econometrica , 57 : 1361 – 1402 .
   Web of Science ®Google Scholar
• Perron , P. “The Hump-Shaped Behavior of Macroeconomic Fluctuations,” . In New Developments in Time Series Econometrics , Edited by: Dufour , J.-M. and Raj , B. New York : Springer-Verlag . (in press)
   Google Scholar
• Poterba , J. M. and Summers , L. H. 1988 . “Mean Reversion in Stock Prices: Evidence and Implications,” . Journal of Financial Economics , 22 : 27 – 59 .
   Web of Science ®Google Scholar
• Priestley , M. B. 1982 . Spectral Analysis and Time Series , London : Academic Press .
   Google Scholar
• Quah , D. 1992 . “The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds,” . Econometrica , 60 : 107 – 118 .
   Web of Science ®Google Scholar
• Richardson , M. and Stock , J. H. 1990 . “Drawing Inferences From Statistics Based on Multi-year Asset Returns,” . Journal of Financial Economics , 25 : 323 – 348 .
   Web of Science ®Google Scholar