The Case for Trend-Stationarity is Stronger than we Thought
AbstractIn 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 InfoPaper provided by University of Iowa, Department of Economics in its series Working Papers with number 91-05.
Length: 7 pages
Date of creation: 1991
Date of revision:
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Postal: University of Iowa, Department of Economics, Henry B. Tippie College of Business, Iowa City, Iowa 52242
Phone: (319) 335-0829
Fax: (319) 335-1956
Web page: http://tippie.uiowa.edu/economics/
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time series ; econometrics ; economic models;
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- DeJong, David N & Whiteman, Charles H, 1991. "The Case for Trend-Stationarity Is Stronger Than We Thought," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 413-21, Oct.-Dec..
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