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A note on the uncertain trend in US real GNP: Evidence from robust unit root test

  • Amélie Charles

    (Audencia Nantes, School of Management - Audencia, School of Management)

  • Olivier Darné

    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - Université de Nantes : EA4272)

In this paper, we test the presence of stochastic trend in long series of US real GNP measured by Balke and Gordon (1989) and Romer (1989). This is analyzed from two recent robust unit root tests proposed by Cavaliere and Georgiev (2009) and Lima and Xiao (2010), for which critical values are adapted to the small sample size. The former is improved by selecting optimally GLS detrending parameter to make the test in small samples powerful. We obtain mixed results on the full sample (1869--1993). However, the post-1929 GNP and GNP per capita series reject the unit-root null hypothesis, whereas for the pre-1929 GNP data, i.e. the period where the GNP series have been reconstructed, the unit-root hypothesis is not rejected for GNP series proposed by Balke-Gordon and Romer but this hypothesis is rejected for the same series in per capita form. This difference can be explained by the data-construction procedure employed for the pre-1929 GNP series.

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Paper provided by HAL in its series Working Papers with number hal-00547737.

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Date of creation: 17 Dec 2010
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Handle: RePEc:hal:wpaper:hal-00547737
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  1. Lucas, Andre, 1995. "An outlier robust unit root test with an application to the extended Nelson-Plosser data," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 153-173.
  2. Lima Luiz Renato & Xiao Zhijie, 2010. "Testing Unit Root Based on Partially Adaptive Estimation," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-34, June.
  3. Simon Broda & Kai Carstensen & Marc Paolella, 2009. "Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples," Econometric Reviews, Taylor & Francis Journals, vol. 28(5), pages 468-494.
  4. Cavaliere, Giuseppe & Georgiev, Iliyan, 2009. "Robust Inference In Autoregressions With Multiple Outliers," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1625-1661, December.
  5. Hashem Dezhbakhsh & Daniel Levy, 2005. "Periodic Properties of Interpolated Time Series," Econometrics 0505004, EconWPA.
  6. Montanes, Antonio & Olloqui, Irene & Calvo, Elena, 2005. "Selection of the break in the Perron-type tests," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 41-64.
  7. Peter Burridge & A. M. Robert Taylor, 2006. "Additive Outlier Detection Via Extreme-Value Theory," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(5), pages 685-701, 09.
  8. Potscher, Benedikt M. & Prucha, Ingmar R., 1986. "A class of partially adaptive one-step m-estimators for the non-linear regression model with dependent observations," Journal of Econometrics, Elsevier, vol. 32(2), pages 219-251, July.
  9. Papell, David H & Prodan, Ruxandra, 2004. "The Uncertain Unit Root in U.S. Real GDP: Evidence with Restricted and Unrestricted Structural Change," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(3), pages 423-27, June.
  10. Lucas, André, 1995. "Unit Root Tests Based on M Estimators," Econometric Theory, Cambridge University Press, vol. 11(02), pages 331-346, February.
  11. Hoek, Henk & Lucas, Andre & van Dijk, Herman K., 1995. "Classical and Bayesian aspects of robust unit root inference," Journal of Econometrics, Elsevier, vol. 69(1), pages 27-59, September.
  12. Thompson, Samuel B., 2004. "Robust Tests Of The Unit Root Hypothesis Should Not Be," Econometric Theory, Cambridge University Press, vol. 20(02), pages 360-381, April.
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