The Random Walk and Trend Stationary Models with an Analysis of the US Real GDP: Can We Distinguish between the Two Models?

• 作者: Kazumitsu Nawata
• 来源期刊: 统计学期刊(英文)
• 学科: 数学
• 关键词: Dickey-Fuller Test Unit Root Random Walk Trend Stationary US GDP
• 年，卷（期）: tjxqkyw_2021,（1）
• 页码范围: 213-229
• 页数: 17页
• 分类号: O17

摘要

The unit root can lead to major problems in economic time series analyses. I obtain the asymptotic distributions of the ordinary least squares (OLS) estimator when the true model is trend stationary for the following three cases: 1) the null model is a random walk without drift, and the auxiliary regression model does not contain a constant;2) the null model is a random walk with drift, and the auxiliary regression model contains a constant;and 3) the null model is a random walk with drift, and the auxiliary regression model contains both a constant and a time trend. In the third case, the asymptotic distribution of the OLS estimator is determined by the first order of the autocorrelation, and we can distinguish between the random walk and trend stationary models, unlike in previous studies. Based on these results, the real US gross domestic product is analyzed. A time trend model with autoregressive error terms is chosen. The results suggest that the impacts of a shock can become larger than the original shock in some periods and then gradually decline. However, the impacts continue for a long period, and policy makers should account for this to design better economic policies.