The US real GNP is trend-stationary after all

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Omay, Tolga
Gupta, Rangan
Bonaccolto, Giovanni

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Routledge

Abstract

This article applies the Fractional Frequency Flexible Fourier Form (FFFFF) Dickey–Fuller (DF)-type unit root test on the natural logarithm of US real GNP over the quarterly period of 1875:1–2015:2, to determine whether the same is trend- or difference-stationary. While standard and Integer Frequency Flexible Fourier Form DF-type test fails to reject the null of unit root, the relatively more powerful FFFFF DF-type test provides strong evidence of the real GNP as being trend-stationary, i.e. US output returns to a deterministic log-nonlinear trend in the long run.

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Keywords

Fractional frequency flexible Fourier form (FFFFF), Structural break, Unit root, US real GNP, Gross national product (GNP)

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Citation

Tolga Omay, Rangan Gupta & Giovanni Bonaccolto (2017) The US real GNP is trend-stationary after all, Applied Economics Letters, 24:8, 510-514, DOI: 10.1080/13504851.2016.1205719.