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Does GNP have a unit root? : A re-evaluation


  • Perron, Pierre
  • Phillips, Peter C. B.


Stock and Watson (1986) Tests the Hypothesis That Real Per Capita Gnp Has a Unit Root by Using a Test Statistic Due to Phillips (1985) Which Incorporates a Nonparametric Correction for the Serial Correlation Induced by System and Error Dynamics. the Version of This Test That Is Used by Stock and Watson Does Not Accomodate the Presence of a Drift and to Compensate They Detrend the Series by Extracting a 1.5% Annual Trend Growth. We Use a Version of This Class of Nonparametric Tests, Developed by Phillips and Perron (1986), Which Allows for an Estimated Drift and Reassess the Stock and Watson Findings.
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  • Perron, Pierre & Phillips, Peter C. B., 1987. "Does GNP have a unit root? : A re-evaluation," Economics Letters, Elsevier, vol. 23(2), pages 139-145.
  • Handle: RePEc:eee:ecolet:v:23:y:1987:i:2:p:139-145

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    References listed on IDEAS

    1. Szpiro, George G, 1986. "Measuring Risk Aversion: An Alternative Approach," The Review of Economics and Statistics, MIT Press, vol. 68(1), pages 156-159, February.
    2. Van Herwaarden, Floor G. & Kapteyn, Arie, 1979. "Empirical comparison of the shape of welfare functions," Economics Letters, Elsevier, vol. 3(1), pages 71-76.
    3. Spitzer, John J, 1984. "Variance Estimates in Models with the Box-Cox Transformation: Implications for Estimations and Hypothesis Testing," The Review of Economics and Statistics, MIT Press, vol. 66(4), pages 645-652, November.
    4. Szpiro, George G., 1986. "Relative risk aversion around the world," Economics Letters, Elsevier, vol. 20(1), pages 19-21.
    5. Kapteyn, Arie & Wansbeek, Tom, 1982. "Empirical evidence on preference formation," Journal of Economic Psychology, Elsevier, vol. 2(2), pages 137-154, June.
    6. Kapteyn, Arie & Van Praag, Bernard M. S. & Van Herwaarden, Floor G., 1978. "Individual welfare functions and social reference spaces," Economics Letters, Elsevier, vol. 1(2), pages 173-177.
    7. Harrison, Glenn W., 1986. "An experimental test for risk aversion," Economics Letters, Elsevier, vol. 21(1), pages 7-11.
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