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The US Real GNP is Trend-Stationary After All

Author

Listed:
  • Tolga Omay

    () (Department of Management, Türk Hava Kurumu THK University, Bahçekapi Mahallesi Okul Sokak No:11, Ankara, Turkey)

  • Rangan Gupta

    () (Department of Economics, University of Pretoria)

  • Giovanni Bonaccolto

    () (Department of Statistical Sciences, University of Padova, via C. Battisti 241, 35121 Padova, Italy)

Abstract

This paper applies the Fractional Frequency Flexible Fourier Form (FFFFF) Dickey-Fuller (DF)-type unit root test on the natural logarithm of US real GNP over the quarterly period of 1875:1-2015:2, to determine whether the same is trend- or difference-stationary. While, standard and Integer Frequency Flexible Fourier Form (IFFFF) DF-type test fails to reject the null of unit root, the relatively more powerful FFFFF DF-type test provides strong evidence of the real GNP as being trend-stationary, i.e., US output returns to a deterministic log-nonlinear trend in the long run.

Suggested Citation

  • Tolga Omay & Rangan Gupta & Giovanni Bonaccolto, 2015. "The US Real GNP is Trend-Stationary After All," Working Papers 201581, University of Pretoria, Department of Economics.
  • Handle: RePEc:pre:wpaper:201581
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    References listed on IDEAS

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    Cited by:

    1. Phiri, Andrew, 2018. "Is Swaziland on a path of convergence towards her main trading partners?," MPRA Paper 88790, University Library of Munich, Germany.
    2. Chang, Shinhye & Gupta, Rangan & Miller, Stephen M. & Wohar, Mark E., 2019. "Growth volatility and inequality in the U.S.: A wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 48-73.
    3. David de Villiers & Andrew Phiri, 2019. "Towards resolving the Purchasing Power Parity (PPP) ‘puzzle’ in Newly Industrialized Countries (NIC’s)," Working Papers 1908, Department of Economics, Nelson Mandela University, revised Sep 2019.
    4. Gil-Alana, Luis A. & Yaya, OlaOluwa S, 2018. "Testing Fractional Unit Roots with Non-linear Smooth Break Approximations using Fourier functions," MPRA Paper 90516, University Library of Munich, Germany.

    More about this item

    Keywords

    Fractional Frequency Flexible Fourier Form; Structural Break; Unit root; US real GNP;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production

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