Since the seminal work by Nelson and Plosser (1982), ubiquitous evidence in favor of the integration hypothesis across a wide range of macroeconomic and financial time series has been reported in the literature. These results have recently come under attack, however, along several fronts. For...

The new KPSS test is used to test the null hypothesis that U.S. real GNP is a trend stationary process. When appropriately sized, the test fails to reject the trend stationary null. This provides an important counter-example to the generic inability to reject the difference stationary null...