Trends and random walks in macroeconomic time series: A reappraisal

► We re-analyze the nature of the trend in the Nelson-Plosser macroeconomic data set. ► We underline the effects of large infrequent shocks on US macroeconomic time series. ► These shocks are the Great Depression, World War II and recessions. ► We apply an ADF test corrected for detected outliers based on intervention models. ► The results show the rejection of the unit root hypothesis for five series.