|
|
|
|
||||
|
||||
Further Investigation of the Uncertain Unit Root in GnpYin-Wong CheungCity University of Hong Kong - Department of Economics & Finance; University of California at Santa Cruz - Department of Economics Menzie David ChinnUniversity of Wisconsin, Madison - Robert M. La Follette School of Public Affairs and Department of Economics; National Bureau of Economic Research (NBER) November 1996 NBER Working Paper No. t0206 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.
Number of Pages in PDF File: 26 working papers seriesDate posted: September 1, 2000Suggested CitationContact Information
|
|
||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo7 in 0.453 seconds
