Does Gnp Have a Unit Root? a Reevaluation

Pierre Perron and Peter Phillips

Cahiers de recherche from Universite de Montreal, Departement de sciences economiques

Abstract: Stock and Watson (1986) Tests the Hypothesis That Real Per Capita Gnp Has a Unit Root by Using a Test Statistic Due to Phillips (1985) Which Incorporates a Nonparametric Correction for the Serial Correlation Induced by System and Error Dynamics. the Version of This Test That Is Used by Stock and Watson Does Not Accomodate the Presence of a Drift and to Compensate They Detrend the Series by Extracting a 1.5% Annual Trend Growth. We Use a Version of This Class of Nonparametric Tests, Developed by Phillips and Perron (1986), Which Allows for an Estimated Drift and Reassess the Stock and Watson Findings.

Keywords: Research Methods; Time Series; Economic Equilibrium (search for similar items in EconPapers)
Pages: 13P. pages
Date: 1986
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Citations: View citations in EconPapers (5)

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Journal Article: Does GNP have a unit root?: A re-evaluation (1987)
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Persistent link: https://EconPapers.repec.org/RePEc:mtl:montde:8640

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