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Der Zufall und seine Bedeutung für die Entwicklung des deutschen Bruttoinlandsprodukts 1850–1990 / Stochastic Shocks and their Impact on the Development of German Gross Domestic Product from 1850–1990

Author

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  • Metz Rainer

    (Zentralarchiv für Empirische Sozialforschung an der Universität zu Köln, Abt. ZHSF, Liliencronstr. 6, D-50931 Köln-Lindenthal)

Abstract

Following the influential work of Nelson and Plosser (1982) stochastic trends in macroeconomic time series are considered to be a stylized fact. However, since the stochastic trend hypothesis can be rejected for many economic series if a segmented trend model is considered as an alternative, there is at present no agreement on the proper modeling of national product. In this paper „Big“-shocks in the series of German Gross Domestic Product from 1850-1990 are modeled by means of an outlier analysis within the ARIMA-approach. Besides the identification and modeling of such outliers their impact on the trend and cycle component and especially on long term growth variations is investigated.

Suggested Citation

  • Metz Rainer, 1998. "Der Zufall und seine Bedeutung für die Entwicklung des deutschen Bruttoinlandsprodukts 1850–1990 / Stochastic Shocks and their Impact on the Development of German Gross Domestic Product from 1850–1990," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 217(3), pages 308-333, June.
    • Handle: RePEc:jns:jbstat:v:217:y:1998:i:3:p:308-333
    DOI: 10.1515/jbnst-1998-0304
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