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Comment on "The uncertain unit root in real GNP: A re-examination"

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  • Mishra, Tapas

Abstract

With the objective to settle the often conflicting and inconclusive extant debate on whether the observed secular growth can be characterized by a deterministic or stochastic trend, Darné comes up with an alternative method - the outlier detection methodology and studies the persistence properties of US real GNP for the period 1869-1993. Given that the presence of outliers in a time series - unless detected and adjusted - often render wrong impression on the persistence properties and their implications for long-run growth, Darné's contribution in this regard is significant. Outliers of varied types assume varying persistence profiles, therefore detection of them in the GNP growth is a pre-requisite for characterizing the series in a stochastic or deterministic setting. To further intuition on the exact nature of persistence, I applied fractional integration test of the four real GNP series and found that outlier adjusted GNP series are mean-reverting and are more persistent than original. The rate of convergence of stochastic shocks to long-run mean have important implications for growth dynamics.

Suggested Citation

  • Mishra, Tapas, 2009. "Comment on "The uncertain unit root in real GNP: A re-examination"," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 167-172, March.
  • Handle: RePEc:eee:jmacro:v:31:y:2009:i:1:p:167-172
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    References listed on IDEAS

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    Cited by:

    1. Marco Barassi & Matthew Cole & Robert Elliott, 2011. "The Stochastic Convergence of CO 2 Emissions: A Long Memory Approach," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, pages 367-385.
    2. Antonio E. Noriega & Daniel Ventosa-Santaulària, 2010. "Spurious Long-Horizon Regression in Econometrics," Working Papers 2010-06, Banco de México.
    3. repec:eee:rensus:v:75:y:2017:i:c:p:86-97 is not listed on IDEAS
    4. Antonio E. Noriega & Cid Alonso Rodríguez-Pérez, 2011. "Stationarity, structural breaks, and economic growth in Mexico: 1895-2008," Working Papers 2011-11, Banco de México.

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