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Time-Series-Based EconometricsUnit Roots and Co-integrations$
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Michio Hatanaka

Print publication date: 1996

Print ISBN-13: 9780198773535

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198773536.001.0001

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Results of the Model Selection Approach

Results of the Model Selection Approach

Chapter:
(p.90) 9 Results of the Model Selection Approach
Source:
Time-Series-Based Econometrics
Author(s):

Michio Hatanaka

Publisher:
Oxford University Press
DOI:10.1093/0198773536.003.0009

This chapter examines historical data and post-war quarterly data in the USA. Historical data, i.e. real GNP, real wage, real interest rate, and unemployment rate are analysed as real economic variables, to which are added nominal GNP, CPI, stock price, nominal interest rate, and nominal money stock. Post-war data, i.e. GNP, real consumption, real wage, real interest rate, and unemployment rate are analysed, to which are added nominal GNP, CPI, stock price, and nominal money stock. Tests have adopted AR approximations to ARMA models, and the lag orders are determined by t-tests of highest order coefficients.

Keywords:   economic data, historical data, post-war data, GNP, CPI, interest rate, unemployment, stock price, consumption, wage

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