Robust inference on average economic growth

We 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 bootstrapping procedure advocated in Romano and Wolf (2001). Simulation evidence supports the theory and it also indicates the practical relevance of the bootstrapping method. We use quarterly post-war US industrial production for illustration and we show that nonrobust approaches lead to rather different conclusions on average economic growth than our robust approach.