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Are There Unit Roots in Real Economic Variables? (An Encompassing Analysis of Difference and Trend Stationarity)

Are There Unit Roots in Real Economic Variables? (An Encompassing Analysis of Difference and... The Japanese Economic Review Vol. 46. No. 2, June 1995 ARE THERE UNIT ROOTS IN REAL ECONOMIC VARIABLES? (AN ENCOMPASSING ANALYSIS OF DIFFERENCE AND TREND STATIONARITY)* By MICHIO HATANAKA AND YASUJI KOTO (Tezukayama University) 1. Introduction We have two reasons to add the results of our research to the existing vast literature on the unit root. The first reason is that the postwar quarterly or monthly macroeconomic data have escaped the attention that they deserve. Nelson and Plosser (1982), Perron (1989), and a number of Bayesian studies have all investigated what we may call the historical data of the U.S. They are annual data beginning either in the latter half of the nineteenth century or in the early twentieth century. Testing the presence of a unit root as the null hypothesis, Nelson and Plosser (1982) found that the hypothesis was not rejected on the historical data. This finding was later disapproved in Perron (1989a), incorporating structural changes in deterministic trends. In so far as real economic variables are concerned, a sceptical view of the Nelson and Plosser discovery was also presented in the Bayesian studies, treating the presence and absence of a unit root symmetrically . > The presence http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Japanese Economic Review Springer Journals

Are There Unit Roots in Real Economic Variables? (An Encompassing Analysis of Difference and Trend Stationarity)

Hatanaka, Michio; Koto, Yasuji
The Japanese Economic Review , Volume 46 (2): 25 – Jun 1, 1995
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References (32)

Publisher
Springer Journals
Copyright
1995 Japanese Economic Association
ISSN
1352-4739
eISSN
1468-5876
DOI
10.1111/j.1468-5876.1995.tb00010.x
Publisher site
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Abstract

The Japanese Economic Review Vol. 46. No. 2, June 1995 ARE THERE UNIT ROOTS IN REAL ECONOMIC VARIABLES? (AN ENCOMPASSING ANALYSIS OF DIFFERENCE AND TREND STATIONARITY)* By MICHIO HATANAKA AND YASUJI KOTO (Tezukayama University) 1. Introduction We have two reasons to add the results of our research to the existing vast literature on the unit root. The first reason is that the postwar quarterly or monthly macroeconomic data have escaped the attention that they deserve. Nelson and Plosser (1982), Perron (1989), and a number of Bayesian studies have all investigated what we may call the historical data of the U.S. They are annual data beginning either in the latter half of the nineteenth century or in the early twentieth century. Testing the presence of a unit root as the null hypothesis, Nelson and Plosser (1982) found that the hypothesis was not rejected on the historical data. This finding was later disapproved in Perron (1989a), incorporating structural changes in deterministic trends. In so far as real economic variables are concerned, a sceptical view of the Nelson and Plosser discovery was also presented in the Bayesian studies, treating the presence and absence of a unit root symmetrically . > The presence

Journal

The Japanese Economic Review – Springer Journals

Published: Jun 1, 1995

Keywords: economics, general; microeconomics; macroeconomics/monetary economics//financial economics; econometrics; development economics; economic history

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