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The Case for Trend-Stationarity Is Stronger Than We Thought

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  • DeJong, David N
  • Whiteman, Charles H

Abstract

In DeJong and Whiteman (1991a), the authors concluded that 11 of the 14 macroeconomic time-series originally studied by Nelson and Plosser (1982) supported trend-stationarity. Phillips (1991) criticizes this inference, claiming that their procedure is biased against integration, and that their results are sensitive to model and prior specification. However, Phillips' alternative models and priors bias his results in favor of integration; despite these biases, Phillips' own findings indicate that the data provide the greatest relative support to trend-stationarity. This result is similar to their own (1989, 1990, 1991b) findings concerning the sensitivity of their results; the trend-stationarity inference is remarkably robust. Copyright 1991 by John Wiley & Sons, Ltd.

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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 6 (1991)
Issue (Month): 4 (Oct.-Dec.)
Pages: 413-21

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Handle: RePEc:jae:japmet:v:6:y:1991:i:4:p:413-21

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Cited by:
  1. Grassi, S. & Proietti, T., 2014. "Characterising economic trends by Bayesian stochastic model specification search," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 359-374.
  2. Tung Liu & Lee C. Spector, 2003. "Dynamic employment adjustments over business cycles," Working Papers 200302, Ball State University, Department of Economics, revised Jan 2005.
  3. Josef Brada & Ali Kutan, 1999. "The End of Moderate Inflation in Three Transition Economies?," William Davidson Institute Working Papers Series 230, William Davidson Institute at the University of Michigan.
  4. Patrick Marsh, . "A Measure of Distance for the Unit Root Hypothesis," Discussion Papers 05/02, Department of Economics, University of York.
  5. Dreger, Christian & Herzer, Dierk, 2011. "A further examination of the export-led growth hypothesis," Discussion Papers 305, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
  6. Francis W. Ahking, 2004. "The Power of the "Objective" Bayesian Unit-Root Test," Working papers 2004-14, University of Connecticut, Department of Economics.
  7. Francis W. Ahking, 2002. "Is the Bayesian Approach Necessarily Better than the Classical Approach in Unit-Root Test?," Working papers 2002-18, University of Connecticut, Department of Economics.
  8. Diebold & Senhadji, . "Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again," Home Pages _054, University of Pennsylvania.

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