The case for trend‐stationarity is stronger than we thought

In DeJong and Whiteman (1991a), we concluded that 11 of the 14 macroeconomic time‐series originally studied by Nelson and Plosser (1982) supported trend‐stationarity. Phillips (1991) criticizes this inference, claiming that our procedure is biased against integration, and that our results are sensitive to model and prior specification. However, Phillips' alternative models and priors bias his results in favour of integration; despite these biases, Phillips' own findings indicate that the data provide the greatest relative support to trend‐stationarity. This result is similar to our own (1989, 1990, 1991b) findings concerning the sensitivity of our results; the trend‐stationarity inference is remarkably robust.