Why Most Published Results on Unit Root and Cointegration are False

Luitel, Hari S.; Mahar, Gerry J.

doi:10.2139/ssrn.2628645

Cited by 7 publications

(2 citation statements)

References 27 publications

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“…However, the current literature on unit root treats the unit root property of the data as not being affected by a structural break. The implications of the structural break findings in this paper in the context of the uniqueness of unit root and cointegration analysis further complement Luitel and Mahar (2015).…”

Section: Discussionsupporting

confidence: 62%

A Short Note on the Application of Chow Test of Structural Break in US GDP

Luitel¹,

Mahar²

2015

IBR

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In 1997, the North American Industry Classification System (NAICS)-the standard for use by Federal statistical agencies in classifying business establishments for the collection, tabulation, presentation, and analysis of statistical data describing the US economy-replaced the Standard Industrial Classification (SIC) system. There are substantial differences in the method of data reporting under the SIC system and the under NAICS. In this short note, using a Chow Test, we formally provide evidence of a structural break in the US GDP data due to the switch from the SIC reporting system to the NAICS reporting system.

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