Further investigation of the uncertain unit root in GNP

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

33 Scopus Citations
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Author(s)

Detail(s)

Original languageEnglish
Pages (from-to)68-73
Journal / PublicationJournal of Business and Economic Statistics
Volume15
Issue number1
Publication statusPublished - Jan 1997
Externally publishedYes

Abstract

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)

Further investigation of the uncertain unit root in GNP. / Cheung, Yin-Wong; Chinn, Menzie D.

In: Journal of Business and Economic Statistics, Vol. 15, No. 1, 01.1997, p. 68-73.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review