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Abstract:
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The presence of deterministic or stochastic trend in U.S. GDP has been a continuing debate
in the literature of macroeconomics. Ben-David and Papell (1995) found evindence in favor of
trend stationarity using the secular sample of Maddison (1995). More recently, Murray and
Nelson (2000) correctly criticized this nding arguing that the Maddison data are plagued with
additive outliers (AO), which bias inference towards stationarity. Hence, they propose to set the
secular sample aside and conduct inference using a more homogeneous but shorter time-span
post-WWII sample. In this paper we re-visit the Maddison data by employing a test that is
robust against AO s. Our results suggest the U.S. GDP can be modeled as a trend stationary
process. |
