Trends and random walks in macroeconmic time series: Some evidence and implications
By Charles R. Nelson, Charles R. Plosser. 1982
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Citations in the corpus
- Do Business Cycles Cast Long Shadows? Short-Run Persistence and Economic Growth (2000, background): “2 While there is no agreement on whether or not GDP has a unit root, after the work of Nelson and Plosser (1982) there is a consensus that GDP fluctuations are quite persistent.”
- The New Econometrics of Structural Change: Dating Breaks in U.S. Labour Productivity (2001, background): “Before the work of Nelson and Plosser (1982), it was commonplace to assume that the trend was linear.”
- Tax-and-spend, spend-and-tax, or fiscal synchronization: new evidence for ten countries (2002, background): “Many macroeconomic time-series contain unit roots (dominated by stochastic trends) (see Nelson and Plosser, 1982).”
- Consideration of Trends in Time Series (2011, background): “As Nelson and Plosser (1982) suggest, driving forces for economic output trends are growth in population and knowledge, increases in industrial productivity, in trade and training, removal of various constraints in society, as well as developments in science and technology.”
- Productivity Analysis in Global Manufacturing Production (2010, methodology): “…stock often display high levels of persistence, such that it is not unreasonable to suggest for these series to be ‘nonstationary’ processes in some countries (Nelson & Plosser, 1982; Granger, 1997; Lee, Pesaran, & Smith, 1997; Rapach, 2002; Bai & Ng, 2004; Pedroni, 2007; Canning & Pedroni, 2008).”
- Unmitigated Disasters? New Evidence on the Macroeconomic Cost of Natural Catastrophes (2012, unknown): “This approach accounts for the nonstationarity of output (Nelson and Plosser 1982) and can be implemented using dynamic panel methods.”
- Markov Regime Switching and Unit-Root Tests (2000, unknown): “Using standard tests many researchers are unable to reject the unit root null hypothesis for macroeconomic and financial time series such as GDP, interest rates, and exchange rates (Nelson and Plosser 1982).”