The US Real GNP is Trend-Stationary After All

Tolga Omay, Rangan Gupta and Giovanni Bonaccolto ()
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Giovanni Bonaccolto: Department of Statistical Sciences, University of Padova, via C. Battisti 241, 35121 Padova, Italy

No 201581, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper 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 (IFFFF) 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.

Keywords: Fractional Frequency Flexible Fourier Form; Structural Break; Unit root; US real GNP (search for similar items in EconPapers)
JEL-codes: C12 C22 E23 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2015-11
New Economics Papers: this item is included in nep-mac
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Journal Article: The US real GNP is trend-stationary after all (2017)
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