The robustness of trend stationarity: an illustration with the extended Nelson-Plosser dataset


Lu, Maozu and Podivinsky, Jan M. (2003) The robustness of trend stationarity: an illustration with the extended Nelson-Plosser dataset. Econometric Reviews, 22, (3), 261-267. (doi:10.1081/ETC-120024075).

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Original Publication URL: http://dx.doi.org/10.1081/ETC-120024075

Description/Abstract

We re-evaluate Andreu and Spanos's findings in favour of trend stationarity by considering the extended Nelson–Plosser data set. This expanded (to 1988) data set includes a period of rather different behaviour compared with the original Nelson–Plosser data used by Andreou and Spanos. We find that Andreou and Spanos's models (with only minor adjustments) exhibit remarable stability over this extended period, and indicate that their conclusions are more robust than they have shown.

Item Type: Article
ISSNs: 0747-4938 (print)
Related URLs:
Keywords: difference stationarity, trend stationarity, unit root test
Subjects: H Social Sciences > HA Statistics
Divisions: University Structure - Pre August 2011 > School of Social Sciences > Economics
ePrint ID: 33422
Date Deposited: 16 May 2006
Last Modified: 27 Mar 2014 18:20
URI: http://eprints.soton.ac.uk/id/eprint/33422

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