The uncertain trend in US GDP

• 成果类型: Article
• 署名作者: Murray, CJ; Nelson, CR
• 署名单位: University of Washington; University of Washington Seattle; University of Houston System; University of Houston
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(00)00018-0
• 发表日期: 2000
• 页码: 79-95
• 关键词: Business cycle; Unit root; stochastic trend; trend

摘要

Several recent papers conclude that GDP is trend stationary, implying that all shocks are transitory. We re-examine the evidence in light of test size distortion due to data-based lag selection and departures from the maintained hypothesis of temporal homogeneity, and find both effects trigger false rejections of the unit root hypothesis when it is true and signal the presence of permanent shifts in trend that did not occur. Trend stationarity is not supported by the more homogeneous post-war data, but if imposed implies cycles of implausible duration and pattern - 1997 output was 8% below trend. (C) 2000 Elsevier Science B.V. All rights reserved. JEL classification: C22; E32; N1; O47.