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Query: faculty: "FEB" and publication year: "2006"

AuthorsH.P. Boswijk, P.H. Franses
TitleRobust inference on average economic growth
JournalOxford Bulletin of Economics and Statistics
Volume68
Year2006
Issue3
Pages345-370
ISSN03059049
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractWe 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 subsampling procedure advocated in Romano and Wolf (Econometrica, 2001, Vol. 69, p. 1283). Simulation evidence supports the theory and it also indicates the practical relevance of the subsampling method. We use quarterly postwar US industrial production for illustration and we show that non-robust approaches rather lead to different conclusions on average economic growth than our robust approach.

JEL Classification numbers: C15, C22, O47.
Document typeArticle
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