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Trends and random walks in macroeconomic time series: A reappraisal

Amelie Charles and Olivier Darné

Journal of Macroeconomics, 2012, vol. 34, issue 1, 167-180

Abstract: In this paper we re-analyze the nature of the trend (deterministic or stochastic) in the Nelson–Plosser macroeconomic data set from an alternative method relative to the previous studies. We underline the effects of large, but infrequent shocks due to major economic or financial events on US macroeconomic time series, such as the Great Depression, World War II and recessions, using outlier methodology. We apply an ADF test corrected for detected outliers based on intervention models and calculate the specific critical values of the unit root tests for each series. The results point out the rejection of the unit root null hypothesis for five of the fourteen Nelson–Plosser macroeconomic time series, namely real GNP, real per capita GNP, industrial production, employment and unemployment.

Keywords: Macroeconomic time series; Unit root; Outliers (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:34:y:2012:i:1:p:167-180

DOI: 10.1016/j.jmacro.2011.10.001

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