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

The robustness of trend stationarity: an illustration with the extended Nelson-Plosser dataset
The robustness of trend stationarity: an illustration with the extended Nelson-Plosser dataset
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.
difference stationarity, trend stationarity, unit root test
0747-4938
261-267
Lu, Maozu
f20c88e0-3bba-419d-a6a8-79f68f821095
Podivinsky, Jan M.
68b5a6e8-9d09-4a3e-97b2-4a9e4f1efbb9
Lu, Maozu
f20c88e0-3bba-419d-a6a8-79f68f821095
Podivinsky, Jan M.
68b5a6e8-9d09-4a3e-97b2-4a9e4f1efbb9

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).

Record type: Article

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.

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More information

Published date: 2003
Keywords: difference stationarity, trend stationarity, unit root test

Identifiers

Local EPrints ID: 33422
URI: https://eprints.soton.ac.uk/id/eprint/33422
ISSN: 0747-4938
PURE UUID: 588e2498-1d98-4930-a81b-d0742a9d8908

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Date deposited: 16 May 2006
Last modified: 17 Jul 2017 15:52

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