Robust inference on average economic growth
We discuss a method to estimate the confidence bounds for average economic growth, which is robust to misspecification of the unit root property of a given time series. We derive asymptotic theory for the consequences of such misspecification. Our empirical method amounts to an implementation of the bootstrapping procedure advocated in Romano and Wolf (2001). Simulation evidence supports the theory and it also indicates the practical relevance of the bootstraping method. We use quarterly post-war US industrial production for illustration and we show that non-robust approaches lead to rather different conclusions on average economic growth than our robust approach.
|Keywords||Growth, Misspecification Robust testing, Unit root|
|Publisher||Erasmus School of Economics (ESE)|
Boswijk, H.P., & Franses, Ph.H.B.F.. (2001). Robust inference on average economic growth (No. EI 2001-47). Report / Econometric Institute, Erasmus University Rotterdam. Erasmus School of Economics (ESE). Retrieved from http://hdl.handle.net/1765/588
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