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EnglishThis article 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 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 trendstationary, i.e. US output returns to a deterministic log-nonlinear trend in the long run.
| Titolo: | The US real GNP is trend-stationary after all | |
| Autori: | BONACCOLTO, GIOVANNI [Software] | |
| Data di pubblicazione: | 2016 | |
| Rivista: | ||
| Abstract: | This article 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 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 trendstationary, i.e. US output returns to a deterministic log-nonlinear trend in the long run. | |
| Handle: | http://hdl.handle.net/11387/126938 | |
| Appare nelle tipologie: | 1.1 Articolo in rivista |
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http://hdl.handle.net/11387/126938
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