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New unit root tests of the Nelson-Plosser data

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  • Robert McNown
  • Thitima Puttitanun

Abstract

Weighted symmetric and GLS tests for unit roots are applied to the fourteen time series tested by Nelson and Plosser in 1982. Due to the greater power of these two tests, unit roots are rejected for three to five of the series.

Suggested Citation

  • Robert McNown & Thitima Puttitanun, 2002. "New unit root tests of the Nelson-Plosser data," Applied Economics Letters, Taylor & Francis Journals, vol. 9(1), pages 9-11.
    • Handle: RePEc:taf:apeclt:v:9:y:2002:i:1:p:9-11
    DOI: 10.1080/13504850110049360
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    Cited by:

    1. Charles, Amélie & Darné, Olivier, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 167-180.
    2. Olivier Darné & Amélie Charles, 2011. "Large shocks in U.S. macroeconomic time series: 1860-1988," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 5(1), pages 79-100, January.

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