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Does Gnp Have a Unit Root? a Reevaluation

  • Perron, P.
  • Phillips, P.C.B.

Stock and Watson (1986) Tests the Hypothesis That Real Per Capita Gnp Has a Unit Root by Using a Test Statistic Due to Phillips (1985) Which Incorporates a Nonparametric Correction for the Serial Correlation Induced by System and Error Dynamics. the Version of This Test That Is Used by Stock and Watson Does Not Accomodate the Presence of a Drift and to Compensate They Detrend the Series by Extracting a 1.5% Annual Trend Growth. We Use a Version of This Class of Nonparametric Tests, Developed by Phillips and Perron (1986), Which Allows for an Estimated Drift and Reassess the Stock and Watson Findings.

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Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 8640.

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Length: 13P. pages
Date of creation: 1986
Date of revision:
Handle: RePEc:mtl:montde:8640
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