Further Investigation of the Uncertain Unit Root in Gnp
City University of Hong Kong - Department of Economics & Finance; University of California at Santa Cruz - Department of Economics
Menzie David Chinn
University of Wisconsin, Madison - Robert M. La Follette School of Public Affairs and Department of Economics; National Bureau of Economic Research (NBER)
NBER Working Paper No. t0206
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.
Number of Pages in PDF File: 26working papers series
Date posted: September 1, 2000
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