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Does Gnp Have a Unit Root? a Reevaluation

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Author Info
Perron, P.
Phillips, P.C.B.

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Abstract

Stock and Watson (1986) Tests the Hypothesis That Real Per Capita Gnp Has a Unit Root by Using a Test Statistic Due to Phillips (1985) Which Incorporates a Nonparametric Correction for the Serial Correlation Induced by System and Error Dynamics. the Version of This Test That Is Used by Stock and Watson Does Not Accomodate the Presence of a Drift and to Compensate They Detrend the Series by Extracting a 1.5% Annual Trend Growth. We Use a Version of This Class of Nonparametric Tests, Developed by Phillips and Perron (1986), Which Allows for an Estimated Drift and Reassess the Stock and Watson Findings.

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Publisher Info
Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 8640.

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Length: 13P. pages
Date of creation: 1986
Date of revision:
Handle: RePEc:mtl:montde:8640

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Keywords: Research Methods ; Time Series ; Economic Equilibrium;

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  1. Shami, R.G. & Forbes, C.S., 2000. "A structural Time Series Model with Markov Switching," Monash Econometrics and Business Statistics Working Papers 10/2000, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  2. James H. Stock & Mark W. Watson, 1987. "Interpreting Evidence on Money-Income Causality," NBER Working Papers 2228, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Yin-Wong Cheung & Menzie D. Chinn, 1996. "Further Investigation of the Uncertain Unit Root in GNP," NBER Technical Working Papers 0206, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Luis A. Gil-Alana, 2004. "Modelling the US real GNP with fractionally integrated techniques," Applied Economics, Taylor and Francis Journals, vol. 36(8), pages 873-879, May. [Downloadable!] (restricted)
  5. Mukhtar M. Ali, 1996. "Distribution of the Least Squares Estimator in a First-Order Autoregressive Model," Econometrics 9610004, EconWPA. [Downloadable!]
  6. Peter C.B. Phillips & Bruce E. Hansen, 1988. "Estimation and Inference in Models of Cointegration: A Simulation Study," Cowles Foundation Discussion Papers 881, Cowles Foundation, Yale University. [Downloadable!]
  7. Mukhtar M. Ali, 1996. "Exact Distribution of the Least Squares Estimator in a First- Order Autoregressive Model," Econometrics 9604001, EconWPA. [Downloadable!]
  8. Alain Paquet, 1998. "Prudence fiscale, indicateurs d'endettement et évolution de l'état des finances des administrations publiques au Canada," Cahiers de recherche CREFE / CREFE Working Papers 59, CREFE, Université du Québec à Montréal. [Downloadable!]
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