Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

摘要: Recently, Perron has carried out tests of the unit-root hypothesis against alternative trend stationarity with a break in occurring at Great Crash 1929 or 1973 oil-price shock. His analysis covers Nelson–Plosser macroeconomic data series as well postwar quarterly real gross national product (GNP) series. reject null for most This article takes issue assumption used by that and shock can be treated exogenous events. A variation Perron's test is considered which breakpoint estimated rather than fixed. We argue this more appropriate because it circumvents problem data-mining. The asymptotic distribution statistic determined. are reanalyzed using statistic. empirical results make use asymptotics developed stati...