Searching for a Break in GNP
AbstractIt has been suggested that existing estimates of the long-run impact of a surprise move in income may have a substantial upward bias due to the presence of a trend break in postwar U.S. gross national product data. This article shows that the statistical evidence does not warrant abandoning the no-trend-break null hypothesis. A key part of the argument is that conventionally computed p values overstate the likelihood of the trend-break alternative hypothesis. This is because they do not take into account that, in practice, the date is chosen based on pretest examination of the data.
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 10 (1992)
Issue (Month): 3 (July)
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Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main
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