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A Reexamination of the Nelson-Plosser Data Set Using Recursive and Sequential Tests

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  • Li, Hongyi

Abstract

The present paper applies to the Nelson-Plosser data set the recursive, rolling, and sequential tests proposed by Banerjee, Lumsdaine and Stock (1992) for unit roots in the presence of mean or trend breaks. Unlike Perron's method, these three types of test endogenize the break point in the mean or trend and thus are more appealing in empirical studies. The (reverse) recursive test indicates rejection of the unit root null in industrial production and unemployment rate. The sequential test indicates that nominal GNP and common stock prices are stationary with a break in the mean.

Suggested Citation

  • Li, Hongyi, 1995. "A Reexamination of the Nelson-Plosser Data Set Using Recursive and Sequential Tests," Empirical Economics, Springer, vol. 20(3), pages 501-518.
    • Handle: RePEc:spr:empeco:v:20:y:1995:i:3:p:501-18
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    Cited by:

    1. Charles, Amélie & Darné, Olivier, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 167-180.
    2. Franco Bevilacqua & Adriaan van Zon, 2004. "Random walks and non-linear paths in macroeconomic time series: some evidence and implications," Chapters, in: John Foster & Werner Hölzl (ed.), Applied Evolutionary Economics and Complex Systems, chapter 3, Edward Elgar Publishing.
    3. Olivier Darné & Amélie Charles, 2011. "Large shocks in U.S. macroeconomic time series: 1860-1988," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 5(1), pages 79-100, January.
    4. Andreas Behr, 2007. "A rolling MTAR model to test for efficient stock pricing and asymmetric adjustment," Applied Financial Economics, Taylor & Francis Journals, vol. 17(18), pages 1479-1487.
    5. Bensalma, Ahmed, 2015. "New Fractional Dickey and Fuller Test," MPRA Paper 65282, University Library of Munich, Germany.
    6. Asmaa Ahmed, 2005. "Random Walks in the Economic Dynamic Series," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 78-100.

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