Empirical Survey How to see different properties of these tests?

Take a group of data, run different tests on the same set, compare inferences.

Empirical Studies Model Nelson and Plosser (1982) Perron (1989)** ADF test with no break Exogenous with one Break Endogenous with one break Endogenous with two breaks Endogenous with two breaks

Unit Root (with possible breaks)

13

Stationary (with possible breaks)

1

11

Zivot & Andrews (1992)* Lumsdaine & Papell (1997)* Lee & Strazicich (2003)**

10

10

ADF test with no break : Biased t-stats Perron 1989 : Bias due to endogeneity problem ZA : Less evidence against unit root but suffers from size problem LS : Adress size problem

How about cross-countries data GDP? Problem is that different economic structures and conditions making it hard to actually compare the inferences, there is no control variable. Eg : OECD countries stationary, supporting convergence of income. Almost half of countries gdp sampled shown to have rejection on the unit root hypothesis