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

Gary L. Shelley and Frederick Wallace ()

Economics Letters, 2011, vol. 112, issue 1, 56-59

Abstract: This paper examines whether the CPI and real GDP for the US 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 nonlinear 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. The use of 'wild bootstrapped' critical values affects test conclusions in some cases. Results also are sensitive to the sample period examined.

Keywords: Nonlinear; unit; root; test; Wild; bootstrap; Non-normality (search for similar items in EconPapers)
Date: 2011
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Handle: RePEc:eee:ecolet:v:112:y:2011:i:1:p:56-59