Further Investigation of the Uncertain Unit Root in GNP
进一步考察国民生产总值的单位根不确定性
A more powerful version of the augmented Dickey–Fuller test and a test that has trend stationarity as the null are applied to U.S. gross national product. Simulated critical values generated from plausible trend- and difference-stationary models are used to minimize possible finite-sample biases. The discriminatory power of the two tests is evaluated using alternative-specific rejection frequencies. For postwar quarterly data, these two tests do not provide a definite…