The US real GNP is trend-stationary after all

Tolga Omay, Rangan Gupta and Giovanni Bonaccolto

Applied Economics Letters, 2017, vol. 24, issue 8, 510-514

Abstract: This article applies the Fractional Frequency Flexible Fourier Form (FFFFF) Dickey–Fuller (DF)-type unit root test on the natural logarithm of US real GNP over the quarterly period of 1875:1–2015:2, to determine whether the same is trend- or difference-stationary. While standard and Integer Frequency Flexible Fourier Form DF-type test fails to reject the null of unit root, the relatively more powerful FFFFF DF-type test provides strong evidence of the real GNP as being trend-stationary, i.e. US output returns to a deterministic log-nonlinear trend in the long run.

Date: 2017
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Working Paper: The US Real GNP is Trend-Stationary After All (2015)
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DOI: 10.1080/13504851.2016.1205719

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