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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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.
|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
|Date Deposited:||16 May 2006|
|Last Modified:||02 Mar 2012 12:27|
|Contact Email Address:||M.Lu@soton.ac.uk|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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