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Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined

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  • Sandberg, Rickard

Abstract

This article considers simple least squares based unit root tests in time series models accommodating nonlinear trends and time-varying deepness and steepness in the dynamic law. The unit root tests are applied to 214 U.S. post-war macroeconomic time series (the same data set as in Stock and Watson, 1999 and Lundbergh, Teräsvirta, and van Dijk, 2003), and the overall rejection rate allowing for a linear (nonlinear) trend specification is 50% (67%). The highest rejection rate by an individual test is 40% (53%) and it arises from a time-varying steepness model. The lowest rejection rate of an individual test is the one by the ADF test and equals 12% (19%).

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  • Sandberg, Rickard, 2016. "Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined," Economic Modelling, Elsevier, vol. 52(PB), pages 699-713.
  • Handle: RePEc:eee:ecmode:v:52:y:2016:i:pb:p:699-713
    DOI: 10.1016/j.econmod.2015.10.010
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