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Does GNP have a unit root? : A re-evaluation

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  • Perron, Pierre
  • Phillips, Peter C. B.

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.
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  • Perron, Pierre & Phillips, Peter C. B., 1987. "Does GNP have a unit root? : A re-evaluation," Economics Letters, Elsevier, vol. 23(2), pages 139-145.
    • Handle: RePEc:eee:ecolet:v:23:y:1987:i:2:p:139-145
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