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Further Investigation of the Uncertain Unit Root in GNP / Yin-Wong Cheung, Menzie D. Chinn.
- Format:
- Book
- Author/Creator:
- Cheung, Yin-Wong.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0206.
- NBER technical working paper series no. t0206
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1996.
- Summary:
- 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.
- Notes:
- Print version record
- November 1996.
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