TY  - JOUR
AU  - Diebold,Francis X.
AU  - Senhadji,Abdelhak S.
TI  - Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 5481
PY  - 1996
Y2  - March 1996
UR  - http://www.nber.org/papers/w5481
L1  - http://www.nber.org/papers/w5481.pdf
N1  - Author contact info:
Francis X. Diebold
Department of Economics
University of Pennsylvania
3718 Locust Walk
Philadelphia, PA  19104-6297
Tel: 215/898-1507
Fax: 212/573-4217
E-Mail: fdiebold@sas.upenn.edu
AB  - A sleepy consensus has emerged that U.S. GNP data are uninformative as to whether trend is better described as deterministic or stochastic.  Although the distinction is not critical in some contexts, it is important for point forecasting, because the two models imply very different long-run dynamics and hence different long-run forecasts.  We argue that, even for the famously recalcitrant GNP series, unit root tests over long spans can be informative.  Our results make clear that uncritical repetition of the `we don't know, and we don't care' mantra is just as scientifically irresponsible as blind adoption of the view that `all macroeconomic series are difference-stationary,' or the view that `all macroeconomic series are trend-stationary.'  There is simply no substitute for serious, case- by-case analysis.
ER  -