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The Case for Trend-Stationarity is Stronger than we Thought

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Author Info

  • DeJong, D.N.
  • Whiteman, C.H.

    ()
    (University of Iowa)

Abstract

In 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 Info

Paper provided by University of Iowa, Department of Economics in its series Working Papers with number 91-05.

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Length: 7 pages
Date of creation: 1991
Date of revision:
Handle: RePEc:uia:iowaec:91-05

Contact details of provider:
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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Related research

Keywords: time series ; econometrics ; economic models;

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Cited by:
  1. Tung Liu & Lee C. Spector, 2005. "Dynamic employment adjustments over business cycles," Empirical Economics, Springer, vol. 30(1), pages 151-169, January.
  2. Diebold & Senhadji, . "Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again," Home Pages _054, University of Pennsylvania.
  3. Dreger, Christian & Herzer, Dierk, 2011. "A further examination of the export-led growth hypothesis," Discussion Papers 305, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
  4. Stefano Grassi & Tommaso Proietti, 2010. "Characterizing economic trends by Bayesian stochastic model specification search," EERI Research Paper Series EERI_RP_2010_25, Economics and Econometrics Research Institute (EERI), Brussels.
  5. Francis W. Ahking, 2002. "Is the Bayesian Approach Necessarily Better than the Classical Approach in Unit-Root Test?," Working papers 2002-18, University of Connecticut, Department of Economics.
  6. Patrick Marsh, . "A Measure of Distance for the Unit Root Hypothesis," Discussion Papers 05/02, Department of Economics, University of York.
  7. Francis W. Ahking, 2004. "The Power of the "Objective" Bayesian Unit-Root Test," Working papers 2004-14, University of Connecticut, Department of Economics.
  8. Josef C. Brada & Ali M. Kutan, 1999. "The end of moderate inflation in three transition economies?," Working Papers 1999-003, Federal Reserve Bank of St. Louis.

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