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More uncertainty: on the trending nature of real GDP in the US and UK

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  • Steven Cook

Abstract

While there is disagreement concerning the integrated nature of US Gross domestic product (GDP) over the long-run, there is a consensus that it is best characterized as I(1) over the post-World War II period. In this article the existing literature is extended via the use of an exponential smooth transition autoregressive (ESTAR)-based unit root test. It is shown that in contrast to the conventionally applied ADF test and the more powerful GLS-based ADF test, introduction of an alternative hypothesis of ESTAR adjustment results in the overwhelming rejection of the presence of a unit root. Similar results are presented for UK GDP over the same period.

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  • Steven Cook, 2008. "More uncertainty: on the trending nature of real GDP in the US and UK," Applied Economics Letters, Taylor & Francis Journals, vol. 15(9), pages 667-670.
    • Handle: RePEc:taf:apeclt:v:15:y:2008:i:9:p:667-670
    DOI: 10.1080/13504850600722039
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    2. Harvey David I. & Leybourne Stephen J. & Whitehouse Emily J., 2018. "Testing for a unit root against ESTAR stationarity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(1), pages 1-29, February.
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