Template-Type: ReDIF-Paper 1.0
Author-Name: Boswijk, H.P.
Author-Name-Last: Boswijk
Author-Name-First: Peter
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Title: Robust inference on average economic growth
Abstract: 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.
Creation-Date: 2001-12-31
File-URL: https://repub.eur.nl/pub/588/feweco20020115130413.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2001-47
Keywords: Growth, Misspecification Robust testing, Unit root
Handle: RePEc:ems:eureir:588