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Further investigation of the uncertain trend in US GDP

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  • Luiz Lima
  • Jaime de Jesus Filho

Abstract

The presence of deterministic or stochastic trend in US GDP has been a continuing debate in the literature of macroeconomics. Ben-David and Papell (1995) found evidence in favour of trend stationarity using the secular sample of Maddison (1991). More recently, Murray and Nelson (2000) correctly criticized this finding arguing that the Maddision data are plagued with additive outliers (AO), which bias inference towards stationarity. Hence, they propose to set the secular sample aside and conduct inference using a more homogeneous but shorter time-span post-WWII sample. In this article we re-visit the Maddison data by employing a test that is robust against AO's. Our results suggest the US GDP can be modelled as trend stationary process

Suggested Citation

  • Luiz Lima & Jaime de Jesus Filho, 2008. "Further investigation of the uncertain trend in US GDP," Applied Economics, Taylor & Francis Journals, vol. 40(9), pages 1207-1216.
    • Handle: RePEc:taf:applec:v:40:y:2008:i:9:p:1207-1216
    DOI: 10.1080/00036840600771270
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    2. 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.

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