Complex Unit Roots and Business Cycles: Are They Real?

نویسنده

  • Herman J. Bierens
چکیده

In this paper the asymptotic properties of ARMA processes with complex-conjugate unit roots in the AR lag polynomial are studied. These processes behave quite di¤erently from regular unit root processes (with a single root equal to 1). In particular, the asymptotic properties of a standardized version of the periodogram for such processes are analyzed, and a nonparametric test of the complex unit root hypothesis against the stationarity hypothesis is derived. This test is applied to the annual change of the monthly number of unemployed in the US, in order to see whether this time series has complex unit roots in the business cycle frequencies.

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تاریخ انتشار 1999