@article{5cf5174dcaf44e8e8c921850aa596e1f,
title = "Reconsidering 'trends and random walks in macroeconomic time series'",
abstract = "We employ a Bayesian perspective to identify the type of prior needed to support the inference that most macroeconomic time series follow random walks. For many of the series considered by Nelson and Plosser (1982) the required prior involves assigning very low probability to trendstationary alternatives. When this prior is relaxed trend-stationarity is generally supported, thus the unit root inference seems inappropriate for these series: despite Nelson and Plosser's results indicating that macroeconomic time series are not inconsistent with the random walk hypothesis, our results indicate that for most series the trend-stationarity hypothesis is much more likely.",
author = "DeJong, {David N.} and Whiteman, {Charles H.}",
note = "Funding Information: *Support from the National Science Foundation under grants SES 90-05180 and SES 89-22419 is gratefully acknowledged. We thank Robert King, Charles Plosser, Gene Savin, Fallaw Sowell, an anonymous referee, and participants in workshops at the 1988 Winter Meetings of the Econometric Society, the Federal Reserve Banks of Atlanta and Minneapolis, Columbia University, Iowa State University, Northwestern University, Stanford University, the University of California-Berkeley, and Vanderbilt University for helpful discussions and criticisms; Charles Nelson generously supplied the Nelson-Plosser data. An earlier version of this paper circulated as DeJong and Whiteman (1989a). Our Likelihood Principle approach to this problem owes much to the encouragement of John Geweke. The priors, and any errors, are ours.",
year = "1991",
month = oct,
doi = "10.1016/0304-3932(91)90051-O",
language = "English (US)",
volume = "28",
pages = "221--254",
journal = "Journal of Monetary Economics",
issn = "0304-3932",
publisher = "Elsevier B.V.",
number = "2",
}