Article ID Journal Published Year Pages File Type
965550 Journal of Macroeconomics 2012 14 Pages PDF
Abstract
► 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.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Trends and random walks in macroeconomic time series: A reappraisal
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