A note on the uncertain trend in US real GNP: Evidence from robust unit root test
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.
|Date of creation:||17 Dec 2010|
|Note:||View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00547737|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dezhbakhsh, Hashem & Levy, Daniel, 1994.
"Periodic properties of interpolated time series,"
Elsevier, vol. 44(3), pages 221-228.
- Glenn D. Rudebusch, 1992.
"The uncertain unit root in real GNP,"
Finance and Economics Discussion Series
193, Board of Governors of the Federal Reserve System (U.S.).
- Darné, Olivier, 2009. "The uncertain unit root in real GNP: A re-examination," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 153-166, March.
- Jaeger, Albert, 1990. "Shock persistence and the measurement of prewar output series," Economics Letters, Elsevier, vol. 34(4), pages 333-337, December.
- Balke, Nathan S. & Fomby, Thomas B., 1991. "Shifting trends, segmented trends, and infrequent permanent shocks," Journal of Monetary Economics, Elsevier, vol. 28(1), pages 61-85, August.
- Broda, Simon & Carstensen, Kai & Paolella, Marc S., 2009.
"Assessing and improving the performance of nearly efficient unit root tests in small samples,"
Munich Reprints in Economics
20017, University of Munich, Department of Economics.
- 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.
- Kim, Tae-Hwan & Leybourne, Stephen J & Newbold, Paul, 2000. " Spurious Rejections by Perron Tests in the Presence of a Break," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(3), pages 433-44, July.
- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992.
"Efficient Tests for an Autoregressive Unit Root,"
NBER Technical Working Papers
0130, National Bureau of Economic Research, Inc.
- Hall, Alastair R, 1994. "Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 461-70, October.
- Diebold, Francis X & Senhadji, Abdelhak S, 1996. "The Uncertain Unit Root in Real GNP: Comment," American Economic Review, American Economic Association, vol. 86(5), pages 1291-98, December.
- Yin-Wong Cheung & Menzie D. Chinn, 1996.
"Further Investigation of the Uncertain Unit Root in GNP,"
NBER Technical Working Papers
0206, National Bureau of Economic Research, Inc.
- Cheung, Yin-Wong & Chinn, Menzie D, 1997. "Further Investigation of the Uncertain Unit Root in GNP," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 68-73, January.
- Yin-Wong Cheung & Menzie Chinn, 1995. "Further investigation of the uncertain unit root in GNP," Econometrics 9508002, EconWPA.
- 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.
- Franses, Philip Hans & Haldrup, Niels, 1994. "The Effects of Additive Outliers on Tests for Unit Roots and Cointegration," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 471-78, October.
- Newbold, Paul & Leybourne, Stephen & Wohar, Mark E., 2001. "Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993," Journal of Economics and Business, Elsevier, vol. 53(1), pages 85-102.
- 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.
- Cavaliere, Giuseppe & Georgiev, Iliyan, 2009. "Robust Inference In Autoregressions With Multiple Outliers," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1625-1661, December.
- Lucas, André, 1995. "Unit Root Tests Based on M Estimators," Econometric Theory, Cambridge University Press, vol. 11(02), pages 331-346, February.
- Christina D. Romer, 1986.
"The Prewar Business Cycle Reconsidered: New Estimates of Gross NationalProduct, 1869-1918,"
NBER Working Papers
1969, National Bureau of Economic Research, Inc.
- Romer, Christina D, 1989. "The Prewar Business Cycle Reconsidered: New Estimates of Gross National Product, 1869-1908," Journal of Political Economy, University of Chicago Press, vol. 97(1), pages 1-37, February.
- 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.
- 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.
- Lima, Zhijie & Lima, Luiz Renato Regis de Oliveira, 2004.
"Testing unit root based on partially adaptive estimation,"
Economics Working Papers (Ensaios Economicos da EPGE)
528, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- 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.
- Luiz Renato Lima & Zhijie Xiao, 2004. "Testing Unit Root Based on Partially Adaptive Estimation," Econometric Society 2004 Latin American Meetings 63, Econometric Society.
- 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.
- Serena Ng & Pierre Perron, 1997.
"Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power,"
Boston College Working Papers in Economics
369, Boston College Department of Economics, revised 01 Sep 2000.
- Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
- 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.
- Balke, Nathan S & Gordon, Robert J, 1989. "The Estimation of Prewar Gross National Product: Methodology and New Evidence," Journal of Political Economy, University of Chicago Press, vol. 97(1), pages 38-92, February.
- Steven Cook, 2006. "A finite-sample sensitivity analysis of the Dickey-Fuller test under local-to-unity detrending," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(2), pages 233-240.
- 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.
- Sen, Amit, 2003. "On Unit-Root Tests When the Alternative Is a Trend-Break Stationary Process," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 174-84, January.
- Stock, James H. & Watson, Mark W., 1986. "Does GNP have a unit root?," Economics Letters, Elsevier, vol. 22(2-3), pages 147-151.
When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:hal-00547737. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.