Further Investigation of the Uncertain Unit Root in GNP / Yin-Wong Cheung, Menzie D. Chinn.

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Cheung, Yin-Wong

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Material type: Text

TextSeries: Technical Working Paper Series (National Bureau of Economic Research) ; no. t0206.Publication details: Cambridge, Mass. National Bureau of Economic Research 1996.Description: 1 online resource: illustrations (black and white)Subject(s):

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Abstract: A more powerful version of the ADF test and a test that has trend stationarity as the null are applied to U.S. GNP. Simulated critical values generated from plausible trend and difference stationary models are used in order to minimize possible finite sample biases. The discriminatory power of the two tests is evaluated using alternative-specific rejection frequencies. For post-War quarterly data, these two tests do not provide a definite conclusion. However, when analyzing annual data over the 1869-1986 period, the unit root null is rejected, while the trend stationary null is not.

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Working Paper	Biblioteca Digital	Colección NBER	nber t0206 (Browse shelf(Opens below))	Not For Loan

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Previous	nber t0203 Statistical Mechanics Approaches to Socioeconomic Behavior /	nber t0204 Hierarchical Bayes Models with Many Instrumental Variables /	nber t0205 The NBER Manufacturing Productivity Database /	nber t0206 Further Investigation of the Uncertain Unit Root in GNP /	nber t0207 Solving Large Scale Rational Expectations Models /	nber t0208 Computational Economics and Economic Theory: Substitutes or Complements /	nber t0209 The Significance of the Market Portfolio /	Next

November 1996.

A more powerful version of the ADF test and a test that has trend stationarity as the null are applied to U.S. GNP. Simulated critical values generated from plausible trend and difference stationary models are used in order to minimize possible finite sample biases. The discriminatory power of the two tests is evaluated using alternative-specific rejection frequencies. For post-War quarterly data, these two tests do not provide a definite conclusion. However, when analyzing annual data over the 1869-1986 period, the unit root null is rejected, while the trend stationary null is not.