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**Further evidence on breaking trend functions in macroeconomic variables.**
*(English)*
Zbl 0965.62103

Summary: This study first reexamines the findings of P. Perron [Econometrica 57, No. 6, 1361-1401 (1989; Zbl 0683.62066)] regarding the claim that most macroeconomic time series are best construed as stationary fluctuations around a deterministic trend function if allowance is made for the possibility of a shift in the intercept of the trend function in 1929 (a crash) and a shift in slope in 1973 (a slowdown in growth). Unlike that previous study, the date of possible change is not fixed a priori but is considered as unknown. We consider various methods to select the break points and the asymptotic and finite sample distributions of the corresponding statistics. A detailed discussion about the choice of the truncation lag parameter in the autoregression and of its effect on the critical values is also included. Most of the rejections reported by Perron are confirmed using this approach.

Secondly, this paper investigates an international data set of post-war quarterly real GNP (or GDP) series for the G-7 countries. Our results are compared and contrasted to those of A. Banerjee et al. [J. Bus. Econ. Stat. 10, 271-287 (1992)] and E. Zivot and D.W.K. Andrews [ibid., 251-270 (1992)]. In contrast to the theoretical results contained in these papers, we derive the limiting distribution of the sequential test without trimming.

Secondly, this paper investigates an international data set of post-war quarterly real GNP (or GDP) series for the G-7 countries. Our results are compared and contrasted to those of A. Banerjee et al. [J. Bus. Econ. Stat. 10, 271-287 (1992)] and E. Zivot and D.W.K. Andrews [ibid., 251-270 (1992)]. In contrast to the theoretical results contained in these papers, we derive the limiting distribution of the sequential test without trimming.

### MSC:

62P20 | Applications of statistics to economics |

### Keywords:

hypothesis testing; structural change; stochastic trends; deterministic trends; simulation experiment; unit roots### Citations:

Zbl 0683.62066
Full Text:
DOI

### References:

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