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The Robustness of Trend Stationarity: An Illustration with the Extended Nelson-Plosser Dataset

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  • Maozu Lu
  • Jan M. Podivinsky

Abstract

We re-evaluate Andreu and Spanos's findings in favour of trend stationarity by considering the extended Nelson-Plosser data set. This expanded (to 1988) data set includes a period of rather different behaviour compared with the original Nelson-Plosser data used by Andreou and Spanos. We find that Andreou and Spanos's models (with only minor adjustments) exhibit remarable stability over this extended period, and indicate that their conclusions are more robust than they have shown.

Suggested Citation

  • Maozu Lu & Jan M. Podivinsky, 2003. "The Robustness of Trend Stationarity: An Illustration with the Extended Nelson-Plosser Dataset," Econometric Reviews, Taylor & Francis Journals, vol. 22(3), pages 261-267, January.
  • Handle: RePEc:taf:emetrv:v:22:y:2003:i:3:p:261-267
    DOI: 10.1081/ETC-120024075
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