This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Activity Number: 410
Type: Contributed
Date/Time: Tuesday, August 3, 2010 : 2:00 PM to 3:50 PM
Sponsor: Business and Economic Statistics Section
Abstract - #307568
Title: Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation
Author(s): Mohitosh Kejriwal*+ and Claude Lopez+
Companies: Purdue University and University of Cincinnati
Address: 403 West State Street, West Lafayette, IN, 47906, USA Department of Economics, Cincinnati, OH, 45221,
Keywords: growth shift ; level shift ; structural change ; trend breaks ; unit root
Abstract:

The existing literature investigating the persistence properties of per capita output has primarily focused on the application of unit root tests allowing for structural breaks under the trend stationary alternative. These tests, however, provide little information regarding the existence and number of trend breaks. Moreover, these tests suffer from serious power and size distortions due to the asymmetric treatment of breaks under the null and alternative hypotheses. This paper estimates the number of breaks in trend employing procedures that are robust to the unit root/stationarity properties of the data. Our analysis thereby permits a robust classification of countries according to the "growth shift", "level shift" and "linear trend" hypotheses. Unit root tests conditional on the presence/absence of breaks do not provide evidence against the unit root hypothesis.


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