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The Case for Trend-Stationarity is Stronger than we Thought

Author

Listed:
  • DeJong, D.N.
  • Whiteman, C.H.

    () (University of Iowa)

Abstract

In DeJong and Whiteman (1991a), the authors concluded that 11 of the 14 macroeconomic time-series originally studied by Nelson and Plosser (1982) supported trend-stationarity. Phillips (1991) criticizes this inference, claiming that their procedure is biased against integration, and that their results are sensitive to model and prior specification. However, Phillips' alternative models and priors bias his results in favor of integration; despite these biases, Phillips' own findings indicate that the data provide the greatest relative support to trend-stationarity. This result is similar to their own (1989, 1990, 1991b) findings concerning the sensitivity of their results; the trend-stationarity inference is remarkably robust. Copyright 1991 by John Wiley & Sons, Ltd.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • DeJong, D.N. & Whiteman, C.H., 1991. "The Case for Trend-Stationarity is Stronger than we Thought," Working Papers 91-05, University of Iowa, Department of Economics.
  • Handle: RePEc:uia:iowaec:91-05
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    Cited by:

    1. Christian Dreger & Dierk Herzer, 2013. "A further examination of the export-led growth hypothesis," Empirical Economics, Springer, vol. 45(1), pages 39-60, August.
    2. Grassi, S. & Proietti, T., 2014. "Characterising economic trends by Bayesian stochastic model specification search," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 359-374.
    3. Tommaso Proietti & Stefano Grassi, 2015. "Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search," Empirical Economics, Springer, vol. 48(3), pages 983-1011, May.
    4. Patrick Marsh, "undated". "A Measure of Distance for the Unit Root Hypothesis," Discussion Papers 05/02, Department of Economics, University of York.
    5. Werner Kristjanpoller & Josephine E. Olson & Rodolfo I. Salazar, 2016. "Does the commodities boom support the export led growth hypothesis? Evidence from Latin American countries," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 25(1), pages 1-13, December.
    6. Thabo m. Mokoena & Rangan Gupta & Reneé Van eyden, 2009. "Testing For Ppp Using Sadc Real Exchange Rates," South African Journal of Economics, Economic Society of South Africa, vol. 77(3), pages 351-362, September.
    7. Tung Liu & Lee C. Spector, 2005. "Dynamic employment adjustments over business cycles," Empirical Economics, Springer, vol. 30(1), pages 151-169, January.
    8. Diebold & Senhadji, "undated". "Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again," Home Pages _054, University of Pennsylvania.
    9. Francis W. Ahking, 2004. "The Power of the "Objective" Bayesian Unit-Root Test," Working papers 2004-14, University of Connecticut, Department of Economics.
    10. Loukia Meligkotsidou & Elias Tzavalis & Ioannis D. Vrontos, 2004. "A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models," Working Papers 514, Queen Mary University of London, School of Economics and Finance.
    11. Scott E. Harrington & Tong Yu, 2003. "Do Property-Casualty Insurance Underwriting Margins Have Unit Roots?," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(4), pages 715-733.
    12. Brada, Josef C. & Kutan, Ali M., 1999. "The end of moderate inflation in three transition economies?," ZEI Working Papers B 21-1999, University of Bonn, ZEI - Center for European Integration Studies.
    13. Dar-Hsin Chen & Leo Bin & Chun-Yi Tseng, 2014. "Hedging Effectiveness of Applying Constant and Time-Varying Hedge Ratios: Evidence from Taiwan Stock Index Spot and Futures," Journal of Risk & Control, Risk Market Journals, vol. 1(1), pages 31-49.
    14. Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2016. "Asset prices with non-permanent shocks to consumption," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 152-178.
    15. Loukia Meligkotsidou & Elias Tzavalis & Ioannis D. Vrontos, 2004. "A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models," Working Papers 514, Queen Mary University of London, School of Economics and Finance.
    16. Francis W. Ahking, 2002. "Is the Bayesian Approach Necessarily Better than the Classical Approach in Unit-Root Test?," Working papers 2002-18, University of Connecticut, Department of Economics.

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    Keywords

    time series ; econometrics ; economic models;

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