Shelley, Gary and Wallace, Frederick (2010): Further evidence regarding nonlinear trend reversion of real GDP and the CPI.
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his paper examines whether the CPI and real GDP for the U.S. exhibit nonlinear reversion to trend as recently concluded by Beechey and Österholm [Beechey, M. and Österholm, P., 2008. Revisiting the uncertain unit root in GDP and CPI: testing for non-linear 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. Test results are found to be sensitive to the sample period examined.
|Item Type:||MPRA Paper|
|Original Title:||Further evidence regarding nonlinear trend reversion of real GDP and the CPI|
|Keywords:||nonlinear unit root test; wild bootstrap; non-normality|
|Subjects:||E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations; Cycles
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level; Inflation; Deflation
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
|Depositing User:||Frederick Wallace|
|Date Deposited:||14. Sep 2010 11:35|
|Last Modified:||15. Feb 2013 23:20|
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