Further evidence regarding nonlinear trend reversion of real GDP and the CPI
AbstractThis paper examines whether the CPI and real GDP for the US exhibit nonlinear reversion to trend as recently concluded by Beechey and Österholm [Beechey, M. and Österholm, P., 2008. Revisiting the uncertain unit root in GDP and CPI: testing for nonlinear trend reversion. Economics Letters 100, 221-223]. The wild bootstrap is used to correct for non-normality and heteroscedasticity in a nonlinear unit root test. The use of 'wild bootstrapped' critical values affects test conclusions in some cases. Results alsoÂ are sensitive to the sample period examined.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 112 (2011)
Issue (Month): 1 (July)
Contact details of provider:
Web page: http://www.elsevier.com/locate/ecolet
Nonlinear unit root test Wild bootstrap Non-normality;
Other versions of this item:
- Shelley, Gary & Wallace, Frederick, 2010. "Further evidence regarding nonlinear trend reversion of real GDP and the CPI," MPRA Paper 24962, University Library of Munich, Germany.
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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