Further evidence regarding nonlinear trend reversion of real GDP and the CPI

被引：11
|
作者：
Shelley, Gary L. [1 ]
Wallace, Frederick H. [2 ]
机构：
[1] E Tennessee State Univ, Dept Econ & Finance, Johnson City, TN 37614 USA
[2] Pontificia Univ Catolica Peru, Ctr Catolica, Sch Business, Lima 33, Peru
来源：
ECONOMICS LETTERS | 2011年 / 112卷 / 01期
关键词：
Nonlinear unit root test; Wild bootstrap; Non-normality; UNCERTAIN UNIT-ROOT; TIME-SERIES; BOOTSTRAP; MODELS; TESTS;
D O I：
10.1016/j.econlet.2011.03.014
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper examines whether the CPI and real GDP for the US exhibit nonlinear reversion to trend as recently concluded by Beechey and Osterholm [Beechey, M. and Osterholm, P., 2008. Revisiting the uncertain unit root in GDP and CPI: testing for nonlinear trend reversion. Economics Letters 100,221-223]. The wild bootstrap is used to correct for non-normality and heteroscedasticity in a nonlinear unit root test. The use of 'wild bootstrapped' critical values affects test conclusions in some cases. Results also are sensitive to the sample period examined. (C) 2011 Elsevier B.V. All rights reserved.
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页码：56 / 59
页数：4
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