More Uncertainty About the Unit Root in U.S. Real Gnp

16 Pages Posted: 1 Feb 1997

See all articles by Philip Rothman

Philip Rothman

East Carolina University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: June 10, 1996

Abstract

The new KPSS test is used to test the null hypothesis that U.S. real GNP is a trend stationary process. When appropriately sized, the test fails to reject the trend stationary null. This provides an important counter-example to the generic inability to reject the difference stationary null hypothesis for output by classical hypothesis testing. The evidence in favor of the trend stationary representation is weakened, however, by showing that such size correction dramatically reduces power. Reversing the null and alternative hypotheses, this paper complements Rudebusch's (1993) recent analysis.

JEL Classification: C22, E30

Suggested Citation

Rothman, Philip, More Uncertainty About the Unit Root in U.S. Real Gnp (June 10, 1996). Available at SSRN: https://ssrn.com/abstract=2158 or http://dx.doi.org/10.2139/ssrn.2158

Philip Rothman (Contact Author)

East Carolina University - Department of Economics ( email )

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