6533b873fe1ef96bd12d5db7
RESEARCH PRODUCT
Non-stationarity tests and nonlinear trends
Cem Ertursubject
MathématiquesTime seriesPolynomial trendUnit rootSegmented trendStatistics[ MATH.MATH-ST ] Mathematics [math]/Statistics [math.ST]Operations researchTesting strategy[MATH.MATH-ST] Mathematics [math]/Statistics [math.ST]Mathematicsdescription
This paper stresses the importance of the hypothesis of linearity of the deterministic component imposed by unit root testing procedures most frequently used in empirical literature. We suggest an empirical testing strategy which reduces the risk of reaching false conclusions due to the misspecification of that component and we apply it to the analysis of the nonstationarity exhibited by real GNP in France. We show that it is possible to find someflexible specifications which enable us to reject the unit root null hypothesis otherwise strongly supported in empirical literature. These specifications might be considered as approximations of the true process generating real GNP and might be useful for other time series as well.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 1992-01-01 |