Further Investigation of the Uncertain Unit Root in GNP
A more powerful version of the ADF test and a test that has trend stationarity as the null are applied to U.S. GNP. Simulated critical values generated from plausible trend and difference stationary models are used in order to minimize possible finite sample biases. The discriminatory power of the two tests is evaluated using alternative-specific rejection frequencies. For post-War quarterly data, these two tests do not provide a definite conclusion. However, when analyzing annual data over the 1869-1986 period, the unit root null is rejected, while the trend stationary null is not.
(This abstract was borrowed from another version of this item.)
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 15 (1997)
Issue (Month): 1 (January)
|Contact details of provider:|| Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main|
|Order Information:||Web: http://www.amstat.org/publications/index.html|
References listed on IDEAS
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.:
- Rudebusch, Glenn D, 1992.
"Trends and Random Walks in Macroeconomic Time Series: A Re-examination,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(3), pages 661-80, August.
- Glenn D. Rudebusch, 1990. "Trends and random walks in macroeconomic time series: a re-examination," Finance and Economics Discussion Series 139, Board of Governors of the Federal Reserve System (U.S.).
- Glenn D. Rudebusch, 1992.
"The uncertain unit root in real GNP,"
Finance and Economics Discussion Series
193, Board of Governors of the Federal Reserve System (U.S.).
- John Y. Campbell & N. Gregory Mankiw, 1987.
"Are Output Fluctuations Transitory?,"
The Quarterly Journal of Economics,
Oxford University Press, vol. 102(4), pages 857-880.
- John Y. Campbell & N. Gregory Mankiw, 1986. "Are Output Fluctuations Transitory?," NBER Working Papers 1916, National Bureau of Economic Research, Inc.
- Campbell, John & Mankiw, Gregory, 1987. "Are Output Fluctuations Transitory?," Scholarly Articles 3122545, Harvard University Department of Economics.
- Stock, James H., 1991.
"Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series,"
Journal of Monetary Economics,
Elsevier, vol. 28(3), pages 435-459, December.
- James H. Stock, 1991. "Confidence Intervals for the Largest Autoresgressive Root in U.S. Macroeconomic Time Series," NBER Technical Working Papers 0105, National Bureau of Economic Research, Inc.
- Shiller, Robert J. & Perron, Pierre, 1985.
"Testing the random walk hypothesis : Power versus frequency of observation,"
Elsevier, vol. 18(4), pages 381-386.
- Pierre Perron & Robert J. Shiller, 1984. "Testing the Random Walk Hypothesis: Power Versus Frequency of Observation," Cowles Foundation Discussion Papers 732, Cowles Foundation for Research in Economics, Yale University.
- Robert J. Shiller & Pierre Perron, 1985. "Testing the Random Walk Hypothesis: Power versus Frequency of Observation," NBER Technical Working Papers 0045, National Bureau of Economic Research, Inc.
- Cheung, Yin-Wong & Lai, Kon S, 1995. "Lag Order and Critical Values of a Modified Dickey-Fuller Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(3), pages 411-19, August.
- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992.
"Efficient Tests for an Autoregressive Unit Root,"
NBER Technical Working Papers
0130, National Bureau of Economic Research, Inc.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991.
"Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?,"
Cowles Foundation Discussion Papers
979, Cowles Foundation for Research in Economics, Yale University.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
- Tom Doan, . "KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test," Statistical Software Components RTS00100, Boston College Department of Economics.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
- Lawrence J. Christiano & Martin Eichenbaum, 1989.
"Unit Roots in Real GNP: Do We Know, and Do We Care?,"
NBER Working Papers
3130, National Bureau of Economic Research, Inc.
- Christiano, Lawrence J. & Eichenbaum, Martin, 1990. "Unit roots in real GNP: Do we know, and do we care?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 32(1), pages 7-61, January.
- Lawrence J. Christiano & Martin Eichenbaum, 1990. "Unit roots in real GNP: do we know, and do we care?," Working Paper Series, Macroeconomic Issues 90-2, Federal Reserve Bank of Chicago.
- Lawrence J. Christiano & Martin Eichenbaum, 1989. "Unit roots in real GNP: do we know, and do we care?," Discussion Paper / Institute for Empirical Macroeconomics 18, Federal Reserve Bank of Minneapolis.
- Perron, P. & Phillips, P.C.B., 1986.
"Does Gnp Have a Unit Root? a Reevaluation,"
Cahiers de recherche
8640, Universite de Montreal, Departement de sciences economiques.
- Perron,P., 1988. "Testing For A Random Walk: A Simulation Experiment Of Power When The Simpling Interval Is Varied," Papers 336, Princeton, Department of Economics - Econometric Research Program.
- Yin-Wong Cheung & Menzie Chinn, 1995.
"Deterministic, stochastic and segmented trends in aggregate output: A cross-country analysis,"
- 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 134-62, January.
- Hall, Alastair R, 1994. "Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 461-70, October.
- Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992.
"Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 10(3), pages 271-87, July.
- Anindya Banerjee & Robin L. Lumsdaine & James H. Stock, 1990. "Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence," NBER Working Papers 3510, National Bureau of Economic Research, Inc.
- Leybourne, S J & McCabe, B P M, 1994. "A Consistent Test for a Unit Root," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 157-66, April.
- DeJong, David N, et al, 1992. "Integration versus Trend Stationarity in Time Series," Econometrica, Econometric Society, vol. 60(2), pages 423-33, March.
- Stock, James H. & Watson, Mark W., 1986. "Does GNP have a unit root?," Economics Letters, Elsevier, vol. 22(2-3), pages 147-151.
- Balke, Nathan S & Gordon, Robert J, 1989. "The Estimation of Prewar Gross National Product: Methodology and New Evidence," Journal of Political Economy, University of Chicago Press, vol. 97(1), pages 38-92, February.
When requesting a correction, please mention this item's handle: RePEc:bes:jnlbes:v:15:y:1997:i:1:p:68-73. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.