TY  - JOUR
AU  - Cheung,Yin-Wong
AU  - Chinn,Menzie D.
TI  - Further Investigation of the Uncertain Unit Root in GNP
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 206
PY  - 1996
Y2  - November 1996
UR  - http://www.nber.org/papers/t0206
L1  - http://www.nber.org/papers/t0206.pdf
N1  - Author contact info:
Yin-Wong Cheung
Department of Economics
University of California
Santa Cruz, CA  95064
E-Mail: cheung@ucsc.edu

Menzie D. Chinn
Dept. of Economics
University of Wisconsin
1180 Observatory Drive
Madison, WI 53706
Tel: 608/262-7397
Fax: 608/262-2033
E-Mail: mchinn@lafollette.wisc.edu
AB  - A more powerful version of the ADF test and a test that has trend stationarity as the null are applied to U.S. GNP.  Simulated critical values generated from plausible trend and difference stationary models are used in order to minimize possible finite sample biases.  The discriminatory power of the two tests is evaluated using alternative-specific rejection frequencies.  For post-War quarterly data, these two tests do not provide a definite conclusion.  However, when analyzing annual data over the 1869-1986 period, the unit root null is rejected, while the trend stationary null is not.
ER  -