Robust Inference on Average Economic Growth

26 Pages Posted: 19 May 2006

See all articles by H. Peter Boswijk

H. Peter Boswijk

Amsterdam School of Economics; Tinbergen Institute

Philip Hans Franses

Erasmus University Rotterdam (EUR) - Department of Econometrics

Abstract

We discuss a method to estimate the confidence bounds for average economic growth, which is robust to misspecification of the unit root property of a given time series. We derive asymptotic theory for the consequences of such misspecification. Our empirical method amounts to an implementation of the subsampling procedure advocated in Romano and Wolf (Econometrica, 2001, Vol. 69, p. 1283). Simulation evidence supports the theory and it also indicates the practical relevance of the subsampling method. We use quarterly postwar US industrial production for illustration and we show that non-robust approaches rather lead to different conclusions on average economic growth than our robust approach.

Suggested Citation

Boswijk, H. Peter and Franses, Philip Hans, Robust Inference on Average Economic Growth. Oxford Bulletin of Economics and Statistics, Vol. 68, No. 3, pp. 345-370, June 2006, Available at SSRN: https://ssrn.com/abstract=901667 or http://dx.doi.org/10.1111/j.1468-0084.2006.00165.x

H. Peter Boswijk (Contact Author)

Amsterdam School of Economics ( email )

Roetersstraat 11
Amsterdam, North Holland 1018 WB
Netherlands

HOME PAGE: http://www.uva.nl/profile/h.p.boswijk

Tinbergen Institute ( email )

Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands

Philip Hans Franses

Erasmus University Rotterdam (EUR) - Department of Econometrics ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31 10 408 1278 (Phone)
+31 10 408 9162 (Fax)

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