Further investigation of the uncertain unit root in GNP
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › Not applicable › peer-review
Author(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 68-73 |
| Journal / Publication | Journal of Business and Economic Statistics |
| Volume | 15 |
| Issue number | 1 |
| State | Published - Jan 1997 |
| Externally published | Yes |
Link(s)
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 journal › Not applicable › peer-review
