TY  - JOUR
AU  - Quah,Danny
TI  - What Do We Learn from Unit Roots in Macroeconomic Time Series?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 2450
PY  - 1987
Y2  - November 1987
UR  - http://www.nber.org/papers/w2450
L1  - http://www.nber.org/papers/w2450.pdf
N1  - Author contact info:
Danny Quah
London School of Economics
Houghton Street
London   WC2A 2AE
ENGLAND
E-Mail: dq@econ.lse.ac.uk
AB  - It is often argued that the presence of a unit root in aggregate output implies that there is no "business cycle": the economy does not return to trend following a disturbance. This paper makes this notion precise, but then develops a simple aggregative model where this relation is contradicted. In the model output both has a unit root, and displays repeated short-run fluctuations around a deterministic trend. Some summary statistical evidence is presented that suggests the phenomena described in the paper is not without empirical basis.
ER  -