Further investigation of the uncertain unit root in GNP

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

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Original languageEnglish
Pages (from-to)68-73
Journal / PublicationJournal of Business and Economic Statistics
Issue number1
Publication statusPublished - Jan 1997
Externally publishedYes


A more powerful version of the augmented Dickey-Fuller test and a test that has trend stationarity as the null are applied to U.S. gross national product. Simulated critical values generated from plausible trend- and difference-stationary models are used to minimize possible finite-sample biases. The discriminatory power of the two tests is evaluated using alternative-specific rejection frequencies. For postwar quarterly data, these two tests do not provide a definite conclusion. When analyzing annual data over the 1869-1986 period, however, the unit-root null is rejected, but the trend-stationary null is not.

Research Area(s)

  • Output persistence, Sample-specific critical value, Stationarity test, Unit-root test

Citation Format(s)