Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined

Rickard Sandberg

Economic Modelling, 2016, vol. 52, issue PB, 699-713

Abstract: This article considers simple least squares based unit root tests in time series models accommodating nonlinear trends and time-varying deepness and steepness in the dynamic law. The unit root tests are applied to 214 U.S. post-war macroeconomic time series (the same data set as in Stock and Watson, 1999 and Lundbergh, Teräsvirta, and van Dijk, 2003), and the overall rejection rate allowing for a linear (nonlinear) trend specification is 50% (67%). The highest rejection rate by an individual test is 40% (53%) and it arises from a time-varying steepness model. The lowest rejection rate of an individual test is the one by the ADF test and equals 12% (19%).

Keywords: Nonlinear trends; Unit roots; Asymmetries; Structural changes; TV-STAR; TV-MSTAR (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:52:y:2016:i:pb:p:699-713

DOI: 10.1016/j.econmod.2015.10.010

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