A note on the uncertain trend in US real GNP: Evidence from robust unit root tests

Olivier Darné and Amelie Charles

Economics Bulletin, 2012, vol. 32, issue 3, 2399-2406

Abstract: In this paper, we test the presence of stochastic trend in long series of US real GNP measured by Balke and Gordon (1989) and Romer (1989), using unit root tests robust against breaks and outliers. We apply two recent robust unit root tests proposed by Cavaliere and Georgiev (2009) and Lima and Xiao (2010), for which critical values are adapted to the small sample size and using optimal lag selection methods. The former is improved by selecting optimally GLS detrending parameter to make the test in small samples powerful. We obtain mixed results on the presence of a unit root in the GNP and GNP per capita series on the 1869-2007 period. Even if we cannot conclude on the pre-1929 period, probably because of the reconstruction on the data, we show that the US real GNP series is characterized by a deterministic trend on the post-1929 period.

Keywords: GNP; robust unit root test (search for similar items in EconPapers)
JEL-codes: C2 N1 (search for similar items in EconPapers)
Date: 2012-09-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2012/Volume32/EB-12-V32-I3-P232.pdf (application/pdf)

Related works:
Working Paper: A note of the uncertain trend in US real GNP: Evidence from robust unit root tests (2012)
Working Paper: A note on the uncertain trend in US real GNP: Evidence from robust unit root test (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-12-00374

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().