Often we are taught that growth rates are stationary. Or at least, this is what I have often been taught.
But I've a set of macroeconomic variables, in levels, which I transform and take natural log differences with a lag of 4 (to produce % y/y growth rates). I use the ADF test to check for a unit root, and in each case I fail to reject the null of non-stationarity.
I've tried searching on Google, but does anyone have any literature or anything on this topic? I've found a couple of papers by Stock & Watson where they assume they have stationary variables because they have y/y growth rates, even though tests for a unit root show the presence of one. Is this really something that is justifiable? Surely if the ADF test, or some other tests, indicates non-stationarity, you cannot really proceed assuming you have stationary variables?