Revisiting the uncertain unit root in GDP and CPI:: Testing for non-linear trend reversion

被引：19

作者：

Beechey, Meredith ^{[1
]}

Osterholm, Paer ^{[2
]}

机构：

[1] Fed Reserve Syst, Board Governors, Div Monetaty Affairs, Washington, DC 20551 USA

[2] Uppsala Univ, Sveriges Riksbank & Dept Econ, S-75120 Uppsala, Sweden

来源：

ECONOMICS LETTERS | 2008年 / 100卷 / 02期

关键词：

unit-root test; exponential smooth transition;

D O I：

10.1016/j.econlet.2008.01.013

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We test for the presence of a unit root in U.S. GDP and CPI, allowing for non-linear trend reversion under the alternative hypothesis. In contrast to most previous results, we find evidence in favour of trend stationarity for both variables. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：221 / 223

页数：3

共 18 条

[1] The great wars, the great crash, and steady state growth: Some new evidence about an old stylized fact [J].

BenDavid, D ;

Papell, DH .

JOURNAL OF MONETARY ECONOMICS, 1995, 36 (03) :453-475

[2] TREND REVERSION IN REAL OUTPUT AND UNEMPLOYMENT [J].

CLARK, PK .

JOURNAL OF ECONOMETRICS, 1989, 40 (01) :15-32

[3]

Diebold FX, 1996, AM ECON REV, V86, P1291

[4] Efficient tests for an autoregressive unit root [J].

Elliott, G ;

Rothenberg, TJ ;

Stock, JH .

ECONOMETRICA, 1996, 64 (04) :813-836

[5] OUTPUT AND UNEMPLOYMENT DYNAMICS IN THE UNITED-STATES - 1950-1985 [J].

EVANS, GW .

JOURNAL OF APPLIED ECONOMETRICS, 1989, 4 (03) :213-237

[6]

Froot K. A., 1995, HDB INT EC, VIII

[7]

Granger C., 1993, MODELLING NONLINEAR

[8] Testing for a unit root in the nonlinear STAR framework [J].

Kapetanios, G ;

Shin, Y ;

Snell, A .

JOURNAL OF ECONOMETRICS, 2003, 112 (02) :359-379

[9] Transactions costs and nonlinear adjustment in real exchange rates: An empirical investigation [J].

Michael, P ;

Nobay, AR ;

Peel, DA .

JOURNAL OF POLITICAL ECONOMY, 1997, 105 (04) :862-879

[10]

Mishkin F. S., 2006, 12384 NBER

← 1 2 →