Further evidence regarding nonlinear trend reversion of real GDP and the CPI
Abstracthis paper examines whether the CPI and real GDP for the U.S. 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 non-linear 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. Test results are found to be sensitive to the sample period examined.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 24962.
Date of creation: Jan 2010
Date of revision:
nonlinear unit root test; wild bootstrap; non-normality;
Other versions of this item:
- Shelley, Gary L. & Wallace, Frederick H., 2011. "Further evidence regarding nonlinear trend reversion of real GDP and the CPI," Economics Letters, Elsevier, vol. 112(1), pages 56-59, July.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-09-25 (All new papers)
- NEP-ETS-2010-09-25 (Econometric Time Series)
- NEP-MAC-2010-09-25 (Macroeconomics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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