Further evidence regarding nonlinear trend reversion of real GDP and the CPI

Gary Shelley and Frederick Wallace

MPRA Paper from University Library of Munich, Germany

Abstract: his paper examines whether the CPI and real GDP for the U.S. exhibit nonlinear reversion to trend as recently concluded by Beechey and Österholm [Beechey, M. and Österholm, P., 2008. Revisiting the uncertain unit root in GDP and CPI: testing for non-linear trend reversion. Economics Letters 100, 221-223]. The wild bootstrap is used to correct for non-normality and heteroscedasticity in a nonlinear unit root test. Test results are found to be sensitive to the sample period examined.

Keywords: nonlinear unit root test; wild bootstrap; non-normality (search for similar items in EconPapers)
JEL-codes: C22 E31 E32 (search for similar items in EconPapers)
Date: 2010-01
New Economics Papers: this item is included in nep-ets and nep-mac
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Related works:
Journal Article: Further evidence regarding nonlinear trend reversion of real GDP and the CPI (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:24962

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