Robust inference on average economic growth

H. Peter Boswijk () and Philip Hans Franses ()

No 252, Econometric Institute Report from Erasmus University Rotterdam, Econometric Institute

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 bootstrapping procedure advocated in Romano and Wolf (2001). Simulation evidence supports the theory and it also indicates the practical relevance of the bootstraping method. We use quarterly post-war US industrial production for illustration and we show that non-robust approaches lead to rather different conclusions on average economic growth than our robust approach.

Keywords: growth; unit; root; misspecification; robust; testing (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dev and nep-ecm
Date: 2001
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Related works:
Journal Article: Robust Inference on Average Economic Growth (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:dgr:eureir:2001252

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