Further Investigation of the Uncertain Unit Root in GNP |
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Authors: | Yin-Wong Cheung Menzie D Chinn |
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Institution: | Department of Economics , University of California , Santa Cruz , CA , 95064 |
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Abstract: | A more powerful version of the augmented Dickey–Fuller test and a test that has trend stationarity as the null are applied to U.S. gross national product. Simulated critical values generated from plausible trend- and difference-stationary models are used to minimize possible finite-sample biases. The discriminatory power of the two tests is evaluated using alternative-specific rejection frequencies. For postwar quarterly data, these two tests do not provide a definite conclusion. When analyzing annual data over the 1869–1986 period, however, the unit-root null is rejected, but the trend-stationary null is not. |
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Keywords: | Output persistence Sample-specific critical value Stationarity test Unit-root test |
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