Comment on "The uncertain unit root in real GNP: A re-examination"
Tapas Mishra ()
Journal of Macroeconomics, 2009, vol. 31, issue 1, 167-172
With the objective to settle the often conflicting and inconclusive extant debate on whether the observed secular growth can be characterized by a deterministic or stochastic trend, Darné comes up with an alternative method - the outlier detection methodology and studies the persistence properties of US real GNP for the period 1869-1993. Given that the presence of outliers in a time series - unless detected and adjusted - often render wrong impression on the persistence properties and their implications for long-run growth, Darné's contribution in this regard is significant. Outliers of varied types assume varying persistence profiles, therefore detection of them in the GNP growth is a pre-requisite for characterizing the series in a stochastic or deterministic setting. To further intuition on the exact nature of persistence, I applied fractional integration test of the four real GNP series and found that outlier adjusted GNP series are mean-reverting and are more persistent than original. The rate of convergence of stochastic shocks to long-run mean have important implications for growth dynamics.
Keywords: Unit; root; Outlier; methodology; Stochastic; trend; in; GNP; Long-memory (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:31:y:2009:i:1:p:167-172
Access Statistics for this article
Journal of Macroeconomics is currently edited by Douglas McMillin and Theodore Palivos
More articles in Journal of Macroeconomics from Elsevier
Bibliographic data for series maintained by Haili He ().