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The Uncertain Unit Root in Real GNP

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Cited by:

  1. Athanasios Orphanides & Simon van Norden, 2002. "The Unreliability of Output-Gap Estimates in Real Time," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 569-583, November.
  2. Noriega, Antonio E. & de Alba, Enrique, 2001. "Stationarity and structural breaks -- evidence from classical and Bayesian approaches," Economic Modelling, Elsevier, vol. 18(4), pages 503-524, December.
  3. Roel van Elk & Marc van der Steeg & Dinand Webbink, 2013. "The effects of a special program for multi-problem school dropouts on educational enrolment, employment and criminal behaviour; Evidence from a field experiment," CPB Discussion Paper 241.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  4. Krzysztof Beck, 2016. "Business Cycle Synchronization In European Union: Regional Perspective," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(4), pages 785-815, December.
  5. Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2008. "Are output growth-rate distributions fat-tailed? some evidence from OECD countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 639-669.
  6. Cheung, Yin-Wong & Chinn, Menzie David, 1996. "Deterministic, Stochastic, and Segmented Trends in Aggregate Output: A Cross-Country Analysis," Oxford Economic Papers, Oxford University Press, vol. 48(1), pages 134-162, January.
  7. Clark, Todd E, 1998. "Employment Fluctuations in U.S. Regions and Industries: The Roles of National, Region-Specific, and Industry-Specific Shocks," Journal of Labor Economics, University of Chicago Press, vol. 16(1), pages 202-229, January.
  8. Olivier Darné & Amélie Charles, 2012. "A note on the uncertain trend in US real GNP: Evidence from robust unit root tests," Economics Bulletin, AccessEcon, vol. 32(3), pages 2399-2406.
  9. Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Review, Federal Reserve Bank of St. Louis, vol. 84(Sep), pages 51-74.
  10. Rosa, Carlo, 2011. "The high-frequency response of exchange rates to monetary policy actions and statements," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 478-489, February.
  11. Francisco Rodríguez, 2006. "Have Collapses in Infrastructure Spending Led to Cross-Country Divergence in per Capita GDP?," Wesleyan Economics Working Papers 2006-013, Wesleyan University, Department of Economics.
  12. Glenn D. Rudebusch, 2001. "Is The Fed Too Timid? Monetary Policy In An Uncertain World," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 203-217, May.
  13. Sebastian Fossati, 2013. "Unit root testing with stationary covariates and a structural break in the trend function," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 368-384, May.
  14. Michelacci, Claudio & Zaffaroni, Paolo, 2000. "(Fractional) beta convergence," Journal of Monetary Economics, Elsevier, vol. 45(1), pages 129-153, February.
  15. Murray, Christian J. & Nelson, Charles R., 2000. "The uncertain trend in U.S. GDP," Journal of Monetary Economics, Elsevier, vol. 46(1), pages 79-95, August.
  16. Belke, Ansgar & Potrafke, Niklas, 2012. "Does government ideology matter in monetary policy? A panel data analysis for OECD countries," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1126-1139.
  17. Diego Romero-Ávila, 2012. "Multiple trend shifts and unit roots in US state income levels: implications for long-run growth," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 48(3), pages 641-661, June.
  18. Dezhbakhsh, Hashem & Levy, Daniel, 1994. "Periodic properties of interpolated time series," Economics Letters, Elsevier, vol. 44(3), pages 221-228.
  19. Zarnowitz, Victor & Ozyildirim, Ataman, 2006. "Time series decomposition and measurement of business cycles, trends and growth cycles," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1717-1739, October.
  20. Weshah Razzak & Elmostafa Bentour, 2012. "Do Developing Countries Benefit from Foreign Direct Investments?," EERI Research Paper Series EERI_RP_2012_07, Economics and Econometrics Research Institute (EERI), Brussels.
  21. Diebold, Francis X & Kilian, Lutz, 2000. "Unit-Root Tests Are Useful for Selecting Forecasting Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(3), pages 265-273, July.
  22. Cheung, Yin-Wong & Chinn, Menzie D, 1997. "Further Investigation of the Uncertain Unit Root in GNP," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 68-73, January.
  23. Ji, Philip Inyeob & Kim, Jae H., 2009. "Real interest rate linkages in the Pacific-Basin region," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 440-448, June.
  24. Rose, Andrew K & Engel, Charles, 2002. "Currency Unions and International Integration," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(4), pages 1067-1089, November.
  25. 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.
  26. Ghulam Ghouse & Saud Ahmad Khan & Atiq Ur Rehman & Muhammad Ishaq Bhatti, 2021. "ARDL as an Elixir Approach to Cure for Spurious Regression in Nonstationary Time Series," Mathematics, MDPI, vol. 9(22), pages 1-15, November.
  27. 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.
  28. Prodan, Ruxandra, 2008. "Potential Pitfalls in Determining Multiple Structural Changes With an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 50-65, January.
  29. repec:hit:hitjcm:v:56:y:2015:i:1:p:117-134 is not listed on IDEAS
  30. Razzak, Weshah, 2023. "Measuring the Deviations from Perfect Competition: International Evidence," MPRA Paper 119605, University Library of Munich, Germany.
  31. Mariola Pilatowska, 2010. "Choosing a Model and Strategy of Model Selection by Accumulated Prediction Error," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 10, pages 107-119.
  32. David K. Backus & Jonathan H. Wright, 2007. "Cracking the Conundrum," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 38(1), pages 293-329.
  33. Yeboah Asuamah, Samuel, 2016. "Are output fluctuations transitory or permanent in Ghana?," MPRA Paper 70270, University Library of Munich, Germany.
  34. Döpke, Jörg, 1993. "Alternative Ansätze zur Schätzung des gesamtwirtschaftlichen Produktionspotentials," Kiel Working Papers 591, Kiel Institute for the World Economy (IfW Kiel).
  35. James Morley & Tara M. Sinclair, 2005. "Testing for Stationarity and Cointegration in an Unobserved Components Framework," Computing in Economics and Finance 2005 451, Society for Computational Economics.
  36. Robert F. Martin & Teyanna Munyan & Beth Anne Wilson, 2014. "Potential Output and Recessions: Are We Fooling Ourselves?," IFDP Notes 2014-11-12, Board of Governors of the Federal Reserve System (U.S.).
  37. Schmitt-Grohe, Stephanie, 1998. "The international transmission of economic fluctuations:: Effects of U.S. business cycles on the Canadian economy," Journal of International Economics, Elsevier, vol. 44(2), pages 257-287, April.
  38. Hall, Thomas E., 1995. "Price cyclicality in the natural rate-nominal demand shock model," Journal of Macroeconomics, Elsevier, vol. 17(2), pages 257-272.
  39. Gary B. Magee, 2004. "The Importance of Being British? Imperial Factors and the Growth of British Exports, 1870-1960," Department of Economics - Working Papers Series 923, The University of Melbourne.
  40. Blerina Vika & Ilir Vika, 2021. "Forecasting Albanian Time Series with Linear and Nonlinear Univariate Models," Academic Journal of Interdisciplinary Studies, Richtmann Publishing Ltd, vol. 10, September.
  41. Bae, Sang-Kun & Jensen, Mark J. & Murdock, Scott G., 2005. "Long-run neutrality in a fractionally integrated model," Journal of Macroeconomics, Elsevier, vol. 27(2), pages 257-274, June.
  42. Kiviet, Jan F. & Phillips, Garry D.A., 2014. "Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 424-448.
  43. W A Razzak, 2007. "A Perspective on Unit Root and Cointegration in Applied Macroeconomics," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 4(1), pages 77-102.
  44. Abadir, Karim M. & Caggiano, Giovanni & Talmain, Gabriel, 2013. "Nelson–Plosser revisited: The ACF approach," Journal of Econometrics, Elsevier, vol. 175(1), pages 22-34.
  45. Todd E. Clark & Michael W. McCracken, 2002. "Forecast-based model selection in the presence of structural breaks," Research Working Paper RWP 02-05, Federal Reserve Bank of Kansas City.
  46. Jens H. E. Christensen & Glenn D. Rudebusch, 2019. "A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt," The Review of Economics and Statistics, MIT Press, vol. 101(5), pages 933-949, December.
  47. Rudebusch, Glenn D., 1995. "Federal Reserve interest rate targeting, rational expectations, and the term structure," Journal of Monetary Economics, Elsevier, vol. 35(2), pages 245-274, April.
  48. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
  49. Mehmet Dalkir, 2005. "A New Method For Estimating The Order Of Integration Of Fractionally Integrated Processes Using Bispectra," Econometrics 0507001, University Library of Munich, Germany, revised 07 Jul 2005.
  50. Christian Macaro, 2007. "The Impact of Vintage on the Persistence of Gross Domestic Product Shocks," CEIS Research Paper 101, Tor Vergata University, CEIS.
  51. Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "What is what?: A simple time-domain test of long-memory vs. structural breaks," Economics Working Papers 954, Department of Economics and Business, Universitat Pompeu Fabra.
  52. Lorenzo Trapani, 2021. "Testing for strict stationarity in a random coefficient autoregressive model," Econometric Reviews, Taylor & Francis Journals, vol. 40(3), pages 220-256, April.
  53. David H Papell & Ruxandra Prodan, 2007. "Restricted Structural Change And The Unit Root Hypothesis," Economic Inquiry, Western Economic Association International, vol. 45(4), pages 834-853, October.
  54. Diebold & Senhadji, "undated". "Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again," Home Pages _054, University of Pennsylvania.
  55. Laura Mayoral, 2006. "Further Evidence on the Statistical Properties of Real GNP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 901-920, December.
  56. repec:nbp:nbpbik:v:47:y:2016:i:6:p:435-462 is not listed on IDEAS
  57. Vougas, Dimitrios V., 2007. "Is the trend in post-WW II US real GDP uncertain or non-linear?," Economics Letters, Elsevier, vol. 94(3), pages 348-355, March.
  58. Razzak, Weshah, 2024. "Measuring the Deviations from Perfect Competition: International Evidence (second version)," MPRA Paper 120200, University Library of Munich, Germany, revised 17 Feb 2024.
  59. repec:hal:wpspec:info:hdl:2441/9848 is not listed on IDEAS
  60. Rosa, Carlo, 2011. "Words that shake traders," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 915-934.
  61. repec:spo:wpecon:info:hdl:2441/9848 is not listed on IDEAS
  62. Cogley, Timothy, 2001. "Estimating and testing rational expectations models when the trend specification is uncertain," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1485-1525, October.
  63. Atiq-ur-Rehman, 2011. "Impact of Model Specification Decisions on Unit Root Tests," International Econometric Review (IER), Econometric Research Association, vol. 3(2), pages 22-33, September.
  64. Tom Stark, 1998. "A Bayesian vector error corrections model of the U.S. economy," Working Papers 98-12, Federal Reserve Bank of Philadelphia.
  65. Scott E. Harrington & Tong Yu, 2003. "Do Property‐Casualty Insurance Underwriting Margins Have Unit Roots?," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(4), pages 715-733, December.
  66. Caner, M. & Kilian, L., 2001. "Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 639-657, October.
  67. Noriega Antonio E. & Ventosa-Santaulària Daniel, 2010. "Spurious Long-Horizon Regression in Econometrics," Working Papers 2010-06, Banco de México.
  68. Jonathan Hill & Liang Peng, 2014. "Unified Interval Estimation For Random Coefficient Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(3), pages 282-297, May.
  69. Brada, Josef C. & Kutan, Ali M., 1999. "The end of moderate inflation in three transition economies?," ZEI Working Papers B 21-1999, University of Bonn, ZEI - Center for European Integration Studies.
  70. Atiq-ur-Rehman, Atiq-ur-Rehman & Zaman, Asad, 2008. "Model specification, observational equivalence and performance of unit root tests," MPRA Paper 13489, University Library of Munich, Germany.
  71. Erotokritos Varelas & Ulrich Woitek, 1995. "Is the Greek Economy Periodic?: a Multivariate Description of the Business Cycle Stylized Facts," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 64(1), pages 114-124.
  72. Huang, Yu-Lieh & Huang, Chao-Hsi, 2015. "Uncertain Effects Of Shocks Vs. Uncertain Unit Root: An Alternative View Of U.S. Real Gdp," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 56(1), pages 117-134, June.
  73. Kim, Jae & Choi, In, 2015. "Unit Roots in Economic and Financial Time Series: A Re-Evaluation based on Enlightened Judgement," MPRA Paper 68411, University Library of Munich, Germany.
  74. Kim, Jae H., 2004. "Bootstrap prediction intervals for autoregression using asymptotically mean-unbiased estimators," International Journal of Forecasting, Elsevier, vol. 20(1), pages 85-97.
  75. Clark, Todd E. & McCracken, Michael W., 2005. "The power of tests of predictive ability in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 124(1), pages 1-31, January.
  76. Kuo, Biing-Shen & Mikkola, Anne, 1999. "Re-examining long-run purchasing power parity," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 251-266, February.
  77. Krzysztof Bartosik & Jerzy Mycielski, 2016. "Dynamika płac a długotrwałe bezrobocie w polskiej gospodarce," Bank i Kredyt, Narodowy Bank Polski, vol. 47(5), pages 435-462.
  78. Francis X. Diebold & Lutz Kilian & Marc Nerlove, 2006. "Time Series Analysis," PIER Working Paper Archive 06-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
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  79. Jordi Pons Novell & Andreu Sansó Rosselló, 1996. "Fluctuaciones cíclicas y raíces unitarias en la economía española, 1850-1990," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 6, pages 171-182, Diciembre.
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  85. Sarris, Alexander H., 2000. "Has world cereal market instability increased?," Food Policy, Elsevier, vol. 25(3), pages 337-350, June.
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  91. Newbold, Paul & Leybourne, Stephen & Wohar, Mark E., 2001. "Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993," Journal of Economics and Business, Elsevier, vol. 53(1), pages 85-102.
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