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The Robustness of Trend Stationarity: An Illustration with the Extended Nelson-Plosser Dataset 

Authors: Maozu Lu a; Jan M. Podivinsky a
Affiliation:   a Department of Economics, University of Southampton, Southampton, UK
DOI: 10.1081/ETC-120024075
Publication Frequency: 6 issues per year
Published in: journal Econometric Reviews, Volume 22, Issue 3 January 2003 , pages 261 - 267
Formats available: HTML (English) : PDF (English)
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Abstract

We re-evaluate Andreu and Spanos's findings in favour of trend stationarity by considering the extended Nelson-Plosser data set. This expanded (to 1988) data set includes a period of rather different behaviour compared with the original Nelson-Plosser data used by Andreou and Spanos. We find that Andreou and Spanos's models (with only minor adjustments) exhibit remarable stability over this extended period, and indicate that their conclusions are more robust than they have shown.
Keywords: Difference stationarity; Trend stationarity; Unit root test
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